Add to ORKGThis 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
Stochastic differential equation (SDE) models play a prominent role in many application areas includ...
AbstractIn this paper, the numerical approximation of solutions of linear stochastic delay different...
We study weak convergence of an Euler scheme for non-linear stochastic delay differential equations ...
This paper demonstrates a systematic derivation of high order numerical methods from stochastic Tayl...
This article demonstrates a systematic derivation of stochastic Taylor methods for solving stochasti...
This paper is devoted to investigate the performance of stochastic Taylor methods and derivative-fre...
Random effect and time delay are inherent properties of many real phenomena around us, hence it is r...
This paper proposes a newly developed one-step derivative-free method, that is 2-stage stochastic Ru...
This paper proposes a newly developed one-step derivative-free method, that is 2-stage stochastic Ru...
This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equati...
AbstractThe subject of this paper is the analytic approximation method for solving stochastic differ...
In this paper, we develop a strong Milstein approximation scheme for solving stochastic delay differ...
AbstractWe consider the problem of the numerical solution of stochastic delay differential equations...
Abstract. We develop a weak numerical Euler scheme for non-linear stochastic delay dierential equati...
We develop a weak numerical Euler scheme for non-linear stochastic delay differential equations (SDD...
Stochastic differential equation (SDE) models play a prominent role in many application areas includ...
AbstractIn this paper, the numerical approximation of solutions of linear stochastic delay different...
We study weak convergence of an Euler scheme for non-linear stochastic delay differential equations ...
This paper demonstrates a systematic derivation of high order numerical methods from stochastic Tayl...
This article demonstrates a systematic derivation of stochastic Taylor methods for solving stochasti...
This paper is devoted to investigate the performance of stochastic Taylor methods and derivative-fre...
Random effect and time delay are inherent properties of many real phenomena around us, hence it is r...
This paper proposes a newly developed one-step derivative-free method, that is 2-stage stochastic Ru...
This paper proposes a newly developed one-step derivative-free method, that is 2-stage stochastic Ru...
This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equati...
AbstractThe subject of this paper is the analytic approximation method for solving stochastic differ...
In this paper, we develop a strong Milstein approximation scheme for solving stochastic delay differ...
AbstractWe consider the problem of the numerical solution of stochastic delay differential equations...
Abstract. We develop a weak numerical Euler scheme for non-linear stochastic delay dierential equati...
We develop a weak numerical Euler scheme for non-linear stochastic delay differential equations (SDD...
Stochastic differential equation (SDE) models play a prominent role in many application areas includ...
AbstractIn this paper, the numerical approximation of solutions of linear stochastic delay different...
We study weak convergence of an Euler scheme for non-linear stochastic delay differential equations ...