A systematic derivation of stochastic Taylor methods for stochastic delay differential equations

zbMath1281.65015MaRDI QIDQ360935

Xuerong Mao, Arifah Bahar, S. H. Yeak, Norhayati Binti Rosli

Publication date: 28 August 2013

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL: http://math.usm.my/bulletin/html/vol36_3_2.html

zbMATH Keywords

stochastic Taylor expansionnumerical solutionstochastic delay differential equationsstochastic Taylor methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)

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

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