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

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.

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Official URL: http://www.dx.doi.org/10.1063/1.4915639

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 (Paper)
Uncontrolled Keywords:2-stage stochastic Runge-Kutta, stochastic delay differential equations, Stratonovich Taylor expansion
Subjects:Q Science > QA Mathematics
Divisions:Science
ID Code:59089
Deposited By: Haliza Zainal
Deposited On:18 Jan 2017 01:50
Last Modified:08 Feb 2022 03:28

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