An explicit analytic approximation of solutions for a class of neutral stochastic differential equations with time-dependent delay based on Taylor expansion

DOI10.1016/J.AMC.2015.11.026MaRDI QIDQ668885zbMATH OpenOpenAlexFDO

Authors M. Milosevic

Publication date 19 March 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2015.11.026

zbMATH Keywords

\(L^{p}\) and almost sure convergenceneutral stochastic differential equationsTaylor approximationtime-dependent delay

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• A systematic derivation of stochastic Taylor methods for stochastic delay differential equations
• An analytic approximate method for solving stochastic integrodifferential equations
• An analytic approximation of solutions of stochastic differential equations
• An application of Taylor series in the approximation of solutions to stochastic differential equations with time-dependent delay
• An approximate method via Taylor series for stochastic functional differential equations
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method
• scientific article; zbMATH DE number 1016795 (Why is no real title available?)
• scientific article; zbMATH DE number 195227 (Why is no real title available?)
• New criteria on exponential stability of neutral stochastic differential delay equations
• Numerical Solutions of Neutral Stochastic Functional Differential Equations
• Stability of nonlinear neutral stochastic functional differential equations
• Taylor approximation of stochastic functional differential equations with the Poisson jump

Cited in

(9)

• An approximate method via Taylor series for stochastic functional differential equations
• A novel collocation approach to solve a nonlinear stochastic differential equation of fractional order involving a constant delay
• Numerical treatment of a fractional order system of nonlinear stochastic delay differential equations using a computational scheme
• A stable collocation approach to solve a neutral delay stochastic differential equation of fractional order
• A Taylor method for stochastic differential equations with time-dependent delay via the polynomial condition
• On the approximations of solutions to stochastic differential equations under polynomial condition
• An application of Taylor series in the approximation of solutions to stochastic differential equations with time-dependent delay
• An approximate Taylor method for Stochastic Functional Differential Equations via polynomial condition
• A Taylor approximation of the solutions of neutral stochastic differential equations with constant delay under polynomial conditions

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