Euler-Maruyama method for solving first order uncertain stochastic differential equations

Computational Method for Fractional-Order Stochastic Delay Differential Equations

Dynamic systems in many branches of science and industry are often perturbed by various types of environmental noise. Analysis of this class of models are very popular among researchers. In this paper, we present a method for approximating solution of fractional-order stochastic delay differential equations driven by Brownian motion. The fractional derivatives are considered in the Caputo sense...

Convergence of the Euler-Maruyama method for stochastic differential equations with Markovian switching

Stochastic differential equations with Markovian switching (SDEwMSs), one of the important classes of hybrid systems, have been used to model many physical systems that are subject to frequent unpredictable structural changes. The research in this area has been both theoretical and applied. Most of SDEwMSs do not have explicit solutions so it is important to have numerical solutions. It is surp...

Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

Influenced by Higham, Mao and Stuart [9], several numerical methods have been developed to study the strong convergence of the numerical solutions to stochastic differential equations (SDEs) under the local Lipschitz condition. These numerical methods include the tamed Euler–Maruyama (EM) method, the tamed Milstein method, the stopped EM, the backward EM, the backward forward EM, etc. Recently,...

Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations

Influenced by Higham, Mao and Stuart [10], several numerical methods have been developed to study the strong convergence of the numerical solutions to stochastic differential equations (SDEs) under the local Lipschitz condition. These numerical methods include the tamed Euler–Maruyama (EM) method, the tamed Milstein method, the stopped EM, the backward EM, the backward forward EM, etc. In this ...

A method for solving first order fuzzy differential equation