Confidence intervals for the euler-maruyama approximate solutions of stochastic delay differential equations

Hiroshi Takahashi

doi:10.11345/nctam.63.127

Confidence intervals for the euler-maruyama approximate solutions of stochastic delay differential equations

Hiroshi Takahashi

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

Stochastic delay differential equations (SDDEs) are used for models of phenomena, the future states of the systems depend on both the present states and their past states. For SDDEs, several approximate solutions have been considered. In this paper, we investigate the Euler-Maruyama approximate solutions for SDDEs and estimate the mean square error of approximate solutions.

Original language	English
Pages (from-to)	127-132
Number of pages	6
Journal	Theoretical and Applied Mechanics Japan
Volume	63
DOIs	https://doi.org/10.11345/nctam.63.127
Publication status	Published - 2015 Oct 10
Externally published	Yes

ASJC Scopus subject areas

Mathematics(all)
Condensed Matter Physics
Mechanics of Materials

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10.11345/nctam.63.127

Cite this

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abstract = "Stochastic delay differential equations (SDDEs) are used for models of phenomena, the future states of the systems depend on both the present states and their past states. For SDDEs, several approximate solutions have been considered. In this paper, we investigate the Euler-Maruyama approximate solutions for SDDEs and estimate the mean square error of approximate solutions.",

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AB - Stochastic delay differential equations (SDDEs) are used for models of phenomena, the future states of the systems depend on both the present states and their past states. For SDDEs, several approximate solutions have been considered. In this paper, we investigate the Euler-Maruyama approximate solutions for SDDEs and estimate the mean square error of approximate solutions.

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Confidence intervals for the euler-maruyama approximate solutions of stochastic delay differential equations

Abstract

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