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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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

id	ump-9227
recordtype	eprints
spelling	ump-92272018-05-23T03:12:13Z http://umpir.ump.edu.my/id/eprint/9227/ 2–stage Stochastic Runge–Kutta for Stochastic Delay Differential Equations Norhayati, Rosli Arifah, Bahar S. H., Yeak Rahimah, Jusoh Q Science (General) 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 Stratonovich Taylor series expansion for numerical solution of SRK2 is presented. Local truncation error of SRK2 is measured by comparing the Stratonovich Taylor expansion of the exact solution with the computed solution. Numerical experiment is performed to assure the validity of the method in simulating the strong solution of SDDEs. AIP Publishing 2015 Conference or Workshop Item PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/9227/1/2%E2%80%93stage%20stochastic%20Runge%E2%80%93Kutta%20for%20stochastic%20delay%20differential%20equations.pdf Norhayati, Rosli and Arifah, Bahar and S. H., Yeak and Rahimah, Jusoh (2015) 2–stage Stochastic Runge–Kutta for Stochastic Delay Differential Equations. In: AIP Conf. Proc. : International Conference on Mathematics, Engineering and Industrial Applications (ICoMEIA 2014), 28-30 May 2015 , Penang, Malaysia. pp. 1-9., 1660 (050006). ISBN 978-0-7354-1304-7 http://dx.doi.org/10.1063/1.4915639
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Malaysia Pahang
building	UMP Institutional Repository
collection	Online Access
language	English
topic	Q Science (General)
spellingShingle	Q Science (General) Norhayati, Rosli Arifah, Bahar S. H., Yeak Rahimah, Jusoh 2–stage Stochastic Runge–Kutta for Stochastic Delay Differential Equations
description	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 Stratonovich Taylor series expansion for numerical solution of SRK2 is presented. Local truncation error of SRK2 is measured by comparing the Stratonovich Taylor expansion of the exact solution with the computed solution. Numerical experiment is performed to assure the validity of the method in simulating the strong solution of SDDEs.
format	Conference or Workshop Item
author	Norhayati, Rosli Arifah, Bahar S. H., Yeak Rahimah, Jusoh
author_facet	Norhayati, Rosli Arifah, Bahar S. H., Yeak Rahimah, Jusoh
author_sort	Norhayati, Rosli
title	2–stage Stochastic Runge–Kutta for Stochastic Delay Differential Equations
title_short	2–stage Stochastic Runge–Kutta for Stochastic Delay Differential Equations
title_full	2–stage Stochastic Runge–Kutta for Stochastic Delay Differential Equations
title_fullStr	2–stage Stochastic Runge–Kutta for Stochastic Delay Differential Equations
title_full_unstemmed	2–stage Stochastic Runge–Kutta for Stochastic Delay Differential Equations
title_sort	2–stage stochastic runge–kutta for stochastic delay differential equations
publisher	AIP Publishing
publishDate	2015
url	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
first_indexed	2023-09-18T22:07:35Z
last_indexed	2023-09-18T22:07:35Z
_version_	1777414811457421312

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

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