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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| வெளியீடபà¯à®ªà®Ÿà¯à®Ÿà®¤à¯: |
Universiti Teknologi Malaysia
2013
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| பகà¯à®¤à®¿à®•à®³à¯: | |
| நிகழà¯à®¨à®¿à®²à¯ˆ அணà¯à®•à®²à¯: | 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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| தொகà¯à®ªà¯à®ªà¯: | 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 order of convergence of numerical methods for SDDEs. Three different numerical schemes of Euler method, Milstein scheme and stochastic Taylor method of order 1.5 have been derived. The performance of Euler method, Milstein scheme and stochastic Taylor method of order 1.5 are investigated in a simulation study. |
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