2-stage Stochastic Runge-Kutta for Stochastic Delay Differential Equations

• Main Authors: Norhayati, Rosli, Arifah, Bahar, S. H., Yeak, Rahimah, Jusoh
• Format: Conference or Workshop Item
• Language: English
• Published: 2014
• Subjects: QA Mathematics
• Online Access: http://umpir.ump.edu.my/id/eprint/6106/1/fsti-2014-norhayati-2stage_stochastic.pdf; http://umpir.ump.edu.my/id/eprint/6106/
• Institution: Universiti Malaysia Pahang

This paper proposes a newly developed one-step derivative-free method, that is 2-stage stochastic Runge-Kutta (SRK2) to approximate the solution of stochastic delay differential equations (SDDEs) with a constant time lag, r 0. General formulation of stochastic Runge-Kutta for SDDEs is introduced and...