An application of Taylor series in the approximation of solutions to stochastic differential equations with time-dependent delay
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Taylor approximation\(L^{p}\) and almost sure convergencestochastic differential equations with time-dependent delay
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cites work
- scientific article; zbMATH DE number 1099342 (Why is no real title available?)
- scientific article; zbMATH DE number 195227 (Why is no real title available?)
- An analytic approximate method for solving stochastic integrodifferential equations
- An analytic approximation of solutions of stochastic differential equations
- An approximate method via Taylor series for stochastic functional differential equations
- Discrete-time approximations of stochastic delay equations: the Milstein scheme.
- Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
- Feedback and delays in neurological diseases: A modeling study using dynamical systems
- Nonlinear flows of stochastic linear delay equations
- Numerical analysis of explicit one-step methods for stochastic delay differential equations
- Weak approximation of stochastic differential delay equations
Cited in
(14)- 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
- A Taylor approximation method of stochastic integro-differential equations
- Finite dimensional Markov process approximation for stochastic time-delayed dynamical systems
- An approximate method via Taylor series for stochastic functional differential equations
- Approximation of stochastic delay differential systems by a stochastic system without delay
- 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
- Approximate solutions for a class of delay stochastic differential equations
- On the approximations of solutions to stochastic differential equations under polynomial condition
- A systematic derivation of stochastic Taylor methods for stochastic delay differential equations
- An explicit analytic approximation of solutions for a class of neutral stochastic differential equations with time-dependent delay based on Taylor expansion
- A Taylor method for stochastic differential equations with time-dependent delay via the polynomial condition
- Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
- Implicit numerical methods for neutral stochastic differential equations with unbounded delay and Markovian switching
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