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...
| Main Authors: | , , , |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
AIP Publishing
2015
|
| Subjects: | |
| 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 |