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: AIP Publishing 2015
• Subjects: Q Science (General)
• Online Access: http://umpir.ump.edu.my/id/eprint/9227/1/2%E2%80%93stage%20stochastic%20Runge%E2%80%93Kutta%20for%20stochastic%20delay%20differential%20equations.pdf; http://umpir.ump.edu.my/id/eprint/9227/; http://dx.doi.org/10.1063/1.4915639
• 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 introduce...