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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: Rosli, Norhayati, Bahar, Arifah, Yeak, S. H., Awang, Rahimah Jusoh
Format: Conference or Workshop Item
Published: 2015
Subjects:
QA Mathematics
Online Access:http://eprints.utm.my/id/eprint/59089/
http://www.dx.doi.org/10.1063/1.4915639
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spelling my.utm.590892022-02-08T03:28:43Z http://eprints.utm.my/id/eprint/59089/ 2-Stage stochastic Runge-Kutta for stochastic delay differential equations Rosli, Norhayati Bahar, Arifah Yeak, S. H. Awang, Rahimah Jusoh QA Mathematics 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. 2015 Conference or Workshop Item PeerReviewed Rosli, Norhayati and Bahar, Arifah and Yeak, S. H. and Awang, Rahimah Jusoh (2015) 2-Stage stochastic Runge-Kutta for stochastic delay differential equations. In: International Conference on Mathematics, Engineering and Industrial Applications, ICoMEIA 2014, 28-30 May 2014, Penang, Malaysia. http://www.dx.doi.org/10.1063/1.4915639
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
topic QA Mathematics
spellingShingle QA Mathematics
Rosli, Norhayati
Bahar, Arifah
Yeak, S. H.
Awang, 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 Rosli, Norhayati
Bahar, Arifah
Yeak, S. H.
Awang, Rahimah Jusoh
author_facet Rosli, Norhayati
Bahar, Arifah
Yeak, S. H.
Awang, Rahimah Jusoh
author_sort Rosli, Norhayati
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
publishDate 2015
url http://eprints.utm.my/id/eprint/59089/
http://www.dx.doi.org/10.1063/1.4915639
_version_ 1724607966767742976
score 13.18916

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