




Volume 36 • Number 3 • 2013 

•
A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations
Norhayati Rosli, Arifah Bahar, S. H. Yeak and X. Mao
Abstract.
This article demonstrates a systematic derivation of stochastic Taylor methods for solving stochastic delay differential equations (SDDEs) with a constant time lag, $r>0$. The derivation of stochastic Taylor expansion for SDDEs is presented. We provide the convergence proof of onestep 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.
2010 Mathematics Subject Classification: 65C99
Full text: PDF








