Geodesic
A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations
Bulletin of the Malaysian Mathematical Society, Tome 36 (2013) no. 3 Cet article a éte moissonné depuis la source Bulletin of the Malaysian Mathematical Society website

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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 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.
Classification : 65C99 
@article{BMMS_2013_36_3_a1,
     author = {Norhayati Rosli and Arifah Bahar and S. H. Yeak and X. Mao},
     title = {A {Systematic} {Derivation} of {Stochastic} {Taylor} {Methods} for {Stochastic} {Delay} {Differential} {Equations}},
     journal = {Bulletin of the Malaysian Mathematical Society},
     year = {2013},
     volume = {36},
     number = {3},
     url = {http://geodesic.mathdoc.fr/item/BMMS_2013_36_3_a1/}
}
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%J Bulletin of the Malaysian Mathematical Society
%D 2013
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%U http://geodesic.mathdoc.fr/item/BMMS_2013_36_3_a1/
%F BMMS_2013_36_3_a1
Norhayati Rosli; Arifah Bahar; S. H. Yeak; X. Mao. A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations. Bulletin of the Malaysian Mathematical Society, Tome 36 (2013) no. 3. http://geodesic.mathdoc.fr/item/BMMS_2013_36_3_a1/