Numerical solutions of stochastic differential delay equations under local Lipschitz condition
By Xuerong Mao, Sotirios Sabanis. 2003
172 citations recorded by the source corpus.
Subfields: Computational Theory and Mathematics, Finance, Numerical Analysis
View Paper: https://www.semanticscholar.org/paper/dc68134163ca885fde473bb89ec34eed03b29321
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In Computational Theory and Mathematics
In Finance
- Kevin Burrage
- Tianhai Tian
- Margherita Carletti
- Pamela M. Burrage
- Zhencheng Fan
- Xuerong Mao
- Wanrong Cao
- Mingzhu Liu
In Numerical Analysis
Citations in the corpus
- Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations (2007, background): “4) holds [19], but for the convenience of the reader we preserve it.”
- Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations (2007, background): “[6,8,23,24,32,33,35,36]) while the exponential stability is clearly an asymptotic property.”
- Stochastic delay differential equations for genetic regulatory networks (2007, methodology): “Based on the progress of efficient methods for simulating SDDEs [2,6,7,14,16], we will use two simple systems to study the impact of time delay on the dynamics of GRNs and discuss the implementations of variable time delays.”