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 |
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Format: | Conference or Workshop Item |
Language: | English |
Published: |
AIP Publishing
2015
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Subjects: | |
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 |
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