Author/Authors :
Rosli, Norhayati Universiti Malaysia Pahang - Faculty of Industrial Sciences and Technology, Malaysia , Bahar, Arifah Universiti Teknologi Malaysia - Faculty of Science - Department of Mathematical Sciences, Malaysia , Hoe, Yeak Su Universiti Teknologi Malaysia - Faculty of Science - Department of Mathematical Sciences, Malaysia , Hoe, Yeak Su Universiti Teknologi Malaysia - Ibnu Sina Institute for Fundamental Science Studies, Malaysia , Abdul Rahman, Haliza Universiti Teknologi Malaysia - Faculty of Science - Department of Mathematical Sciences, Malaysia
Abstract :
This paper demonstrates a systematic derivation of high order numericalmethods from stochastic Taylor expansion for solving stochastic delay differentialequations (SDDEs) with a constant time lag, r 0 . The stochastic Taylor expansion ofSDDEs is truncated at certain terms to achieve the order of convergence of numericalmethods for SDDEs. Three different numerical schemes of Euler method, Milsteinscheme and stochastic Taylor method of order 1.5 have been derived. The performance ofEuler method, Milstein scheme and stochastic Taylor method of order 1.5 are investigatedin a simulation study.
