Stochastic Taylor Methods for Stochastic Delay Differential Equations

被引：0

作者：

Rosli, Norhayati ^{[1
]}

Bahar, Arifah ^{[2
]}

Hoe, Yeak Su ^{[2
,3
]}

Rahman, Haliza Abdul ^{[2
]}

机构：

[1] Univ Malaysia Pahang, Fac Ind Sci & Technol, Lebuhraya Tun Razak, Gambang 26300, Pahang, Malaysia

[2] Univ Teknol Malaysia, Fac Sci, Dept Math Sci, Johor Baharu 81310, Johor, Malaysia

[3] Univ Teknol Malaysia, Ibnu Sina Inst Fundamental Sci Studies, Johor Baharu 81310, Johor, Malaysia

来源：

MATEMATIKA | 2013年 / 29卷 / 01期

关键词：

Numerical Solution; Stochastic Delay Differential Equations; Stochastic Taylor Expansion;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

页码：241 / 251

页数：11

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