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

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

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Abstract

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.

Item Type:	Conference or Workshop Item (Speech)
Uncontrolled Keywords:	2–stage stochastic Runge-Kutta, stochastic delay differential equations, Stratonovich Taylor expansion
Subjects:	Q Science > Q Science (General)
Faculty/Division:	Faculty of Industrial Sciences And Technology
Depositing User:	Mrs. Neng Sury Sulaiman
Date Deposited:	01 Jul 2015 07:21
Last Modified:	23 May 2018 03:12
URI:	http://umpir.ump.edu.my/id/eprint/9227
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