An analytic approximation of solutions of stochastic differential equations

DOI10.1016/S0898-1221(04)90074-0zbMath1075.60067MaRDI QIDQ1767809

Svetlana Janković, Dejan Ilić

Publication date: 8 March 2005

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

Taylor approximations\(L^p\) -convergence, convergence with probability one

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Related Items (12)

On the approximations of solutions to stochastic differential equations under polynomial condition ⋮ Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method ⋮ Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching ⋮ Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation ⋮ An explicit analytic approximation of solutions for a class of neutral stochastic differential equations with time-dependent delay based on Taylor expansion ⋮ A Taylor polynomial approach in approximations of solution to pantograph stochastic differential equations with Markovian switching ⋮ An analytic approximation of solutions of stochastic differential delay equations with Markovian switching ⋮ An application of Taylor series in the approximation of solutions to stochastic differential equations with time-dependent delay ⋮ An analytic approximate method for solving stochastic integrodifferential equations ⋮ Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump ⋮ Taylor approximation of the solution of age-dependent stochastic delay population equations with Ornstein-Uhlenbeck process and Poisson jumps ⋮ An approximate method via Taylor series for stochastic functional differential equations

Cites Work

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• A survey of numerical methods for stochastic differential equations
• The rate of convergence for approximate solutions of stochastic differential equations
• Random differential inequalities
• Continuous Markov processes and stochastic equations
• On stochastic differential equations

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