Algorithms for linear stochastic delay differential equations

DOI10.1007/978-1-4939-2104-1_6MaRDI QIDQ5261305zbMATH OpenOpenAlexFDO

Authors Harish S. Bhat

Publication date 3 July 2015

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4939-2104-1_6

zbMATH Keywords

Monte Carlo methodsnumerical algorithmsstochastic delay differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• Balancing with positive feedback: the case for discontinuous control
• Delay Differential Equations
• Finite dimensional Markov process approximation for stochastic time-delayed dynamical systems
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• Introduction to the numerical analysis of stochastic delay differential equations
• Stochastic delay-differential equations
• Weak convergence of the Euler scheme for stochastic differential delay equations

Cited in

(3)

• Governing equations for probability densities of stochastic differential equations with discrete time delays
• An algorithm to detect small solutions in linear delay differential equations
• Matrix numerical method for probability densities of stochastic delay differential equations

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