In this paper, we present the numerical solution of ordinary differential equations (or SDEs), from each order especially second-order with time-varying and Gaussian random coefficients. We indicate a complete analysis for second-order equations in special case of scalar linear second-order equations (damped harmonic oscillators with additive or multiplicative noises). Making stochastic differe...

In this paper we discuss stochastic differential delay equations with Markovian switching. Such an equation can be regarded as the result of several stochastic differential delay equations switching from one to the others according to the movement of a Markov chain. The main aim of this paper is to investigate the robustness of exponential stability of the equations. The criteria obtained in th...

Stability analysis is performed and stabilization strategies are proposed for a general class of stochastic delay differential equations subjected to switching and impulses. Hybrid switching and impulses are combined to exponentially stabilize an otherwise unstable stochastic delay system. Three differential stabilization strategies are proposed, i.e. the average dwell-time approach, the impuls...

In this paper, after recalling the definition of generalized anticipated backward stochastic differential equations (generalized anticipated BSDEs for short) and the existence and uniqueness theorem for their solutions, we show there is a duality between them and stochastic differential delay equations. We then provide a continuous dependence property for their solutions with respect to the par...

In this paper, we intend to solve special kind of ordinary differential equations which is called Heun equations, by converting to a corresponding stochastic differential equation(S.D.E.). So, we construct a stochastic linear equation system from this equation which its solution is based on computing fundamental matrix of this system and then, this S.D.E. is solved by numerically methods. Moreo...

in this paper, we intend to solve special kind of ordinary differential equations which is called heun equations, by converting to a corresponding stochastic differential equation(s.d.e.). so, we construct a stochastic linear equation system from this equation which its solution is based on computing fundamental matrix of this system and then, this s.d.e. is solved by numerically methods. mo...

This paper examines stability analysis of two classes of improved backward Euler methods, namely split-step $(theta, lambda)$-backward Euler (SSBE) and semi-implicit $(theta,lambda)$-Euler (SIE) methods, for nonlinear neutral stochastic delay differential equations (NSDDEs). It is proved that the SSBE method with $theta, lambdain(0,1]$ can recover the exponential mean-square stability with some...

We consider linear differential equations with bounded time delay driven by additive white noise. Our aim is the estimation of the maximal delay time from observations of one realisation of the solution process X under nonparametric drift assumptions. In the stationarity case the covariance function has a jump in the third derivative according to the location of the delay time. Based on this re...