2-Stage stochastic Runge-Kutta for stochastic delay differential equations

• 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

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...