A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations

作者：Rosli Norhayati^*; Bahar Arifah; Yeak S H; Mao X

来源：Bulletin of the Malaysian Mathematical Sciences Society, 2013, 36(3): 555-576.

• Stochastic delay differential equations
• stochastic Taylor expansion
• stochastic Taylor methods
• numerical solution

This article demonstrates a systematic derivation of stochastic Taylor methods for solving stochastic delay differential equations (SDDEs) with a constant time lag, r%26gt;0. The derivation of stochastic Taylor expansion for SDDEs is presented. We provide the convergence proof of one step methods when the drift and diffusion functions are Taylor expansion. It is shown that the approximation solutions for SDDEs converge in the L-2-norm.

• 出版日期2013