Comparison of Numerical Methods for Solving Stochastic Differential Equations with Time Delay

Comparison of Numerical Methods for Solving Stochastic Differential Equations with Time Delay

Hamit Mirtagioglu, Akbar Barati Chiyaneh

Department of Mathematics, University of Bitlis Eren, Bitlis, Turkey.

Abstract: In this paper, we have presented computational methods for solving stochastic differential equations (SDDEs) with distuributed delay term in the drift and diffusion cofficient. Our purpose is comparatively investigates some numerical methods to solve stochastic delay differential equations. We indicate the nature of the methods of interest and examine convergence of them. By presenting some numerical experiments we illustrate the theorical results and finally the results numerical methods are supported with graphs and error tables and discussed about which method is useful and superior and in which cases these methods can be used.

Keywords: Stochastic delay differential equations, Strong Solutions, Numerical Methods, Strong and weak convergence.

Pages: 214 – 228 | Full PDF Paper