An application of Taylor series in the approximation of solutions to stochastic differential equations with time-dependent delay
DOI10.1016/J.CAM.2011.04.009zbMATH Open1222.65013OpenAlexW2031326290MaRDI QIDQ550108FDOQ550108
Authors: M. Milosevic, Miljana Jovanović 
Publication date: 8 July 2011
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2011.04.009
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Cites Work
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- An approximate method via Taylor series for stochastic functional differential equations
- Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
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- Discrete-time approximations of stochastic delay equations: the Milstein scheme.
- An analytic approximation of solutions of stochastic differential equations
- An analytic approximate method for solving stochastic integrodifferential equations
- Weak approximation of stochastic differential delay equations
- Numerical analysis of explicit one-step methods for stochastic delay differential equations
- Feedback and delays in neurological diseases: A modeling study using dynamical systems
- Nonlinear flows of stochastic linear delay equations
Cited In (14)
- A Taylor approximation method of stochastic integro-differential equations
- Existence, uniqueness, almost sure polynomial stability of solution to a class of highly nonlinear pantograph stochastic differential equations and the Euler-Maruyama approximation
- Implicit numerical methods for highly nonlinear neutral stochastic differential equations with time-dependent delay
- Implicit numerical methods for neutral stochastic differential equations with unbounded delay and Markovian switching
- Finite dimensional Markov process approximation for stochastic time-delayed dynamical systems
- An approximate method via Taylor series for stochastic functional differential equations
- On the approximations of solutions to stochastic differential equations under polynomial condition
- Approximate solutions for a class of delay stochastic differential equations
- Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
- Approximation of stochastic delay differential systems by a stochastic system without delay
- A Taylor method for stochastic differential equations with time-dependent delay via the polynomial condition
- A systematic derivation of stochastic Taylor methods for stochastic delay differential equations
- Almost sure exponential stability of the \(\theta \)-Euler-Maruyama method, when \(\theta \in (\frac{1}{2},1)\), for neutral stochastic differential equations with time-dependent delay under nonlinear growth conditions
- An explicit analytic approximation of solutions for a class of neutral stochastic differential equations with time-dependent delay based on Taylor expansion
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