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Stochastic Taylor Methods for Stochastic Delay Differential Equations

Norhayati, Rosli and Arifah, Bahar and Hoe, Yeak Su and Haliza, Abdul Rahman (2013) Stochastic Taylor Methods for Stochastic Delay Differential Equations. MATEMATIKA, 29 (1c). pp. 241-251. ISSN 0127-8274

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Abstract

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.

Item Type: Article
Uncontrolled Keywords: Numerical Solution, Stochastic Delay Differential Equations, Stochastic Taylor Expansion
Subjects: Q Science > QA Mathematics
Faculty/Division: Faculty of Industrial Sciences And Technology
Depositing User: Dr. Norhayati Rosli
Date Deposited: 08 Dec 2016 06:55
Last Modified: 28 Dec 2016 08:38
URI: http://umpir.ump.edu.my/id/eprint/13514
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