Stochastic Taylor Methods for Stochastic Delay Differential Equations
This paper demonstrates a systematic derivation of high order numerical methods from stochastic Taylor expansion for solving stochastic delay differential equations (SDDEs) with a constant time lag, r > 0 . The stochastic Taylor expansion of SDDEs is truncated at certain terms to achieve the orde...
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Universiti Teknologi Malaysia
2013
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| Capaian Atas Talian: | http://dx.doi.org/10.11113/matematika.v29.n.597 http://dx.doi.org/10.11113/matematika.v29.n.597 http://umpir.ump.edu.my/13514/1/29.1c.241-251.pdf |
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