Simulations of Two-Step Maruyama Methods for Nonlinear Stochastic Delay Differential Equations
From MaRDI portal
Publication:4919324
DOI10.4208/aamm.12-12S11zbMath1262.65007MaRDI QIDQ4919324
Zhongqiang Zhang, Wan-Rong Cao
Publication date: 8 May 2013
Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)
Burgers equation; two-step Maruyama methods; nonlinear stochastic delay differential system; P-stability in mean-square sense
65C20: Probabilistic models, generic numerical methods in probability and statistics
65C30: Numerical solutions to stochastic differential and integral equations
65Q20: Numerical methods for functional equations
Related Items
On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations, Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods