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

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

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...

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Bibliographic Details
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/
http://umpir.ump.edu.my/id/eprint/9227/
http://umpir.ump.edu.my/id/eprint/9227/1/2%E2%80%93stage%20stochastic%20Runge%E2%80%93Kutta%20for%20stochastic%20delay%20differential%20equations.pdf

Internet

http://umpir.ump.edu.my/id/eprint/9227/
http://umpir.ump.edu.my/id/eprint/9227/
http://umpir.ump.edu.my/id/eprint/9227/1/2%E2%80%93stage%20stochastic%20Runge%E2%80%93Kutta%20for%20stochastic%20delay%20differential%20equations.pdf

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