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Stochastic taylor methods for stochastic delay differential equations

Rosli, Norhayati and Bahar, Arifah and Su, Hoe Yeak and Abdul Rahman, Haliza (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
Subjects:Q Science
Divisions:Chancellery
ID Code:40766
Deposited By: Liza Porijo
Deposited On:20 Aug 2014 16:15
Last Modified:09 Aug 2017 12:21

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