2–stage stochastic Runge–Kutta for stochastic delay differential equations

Journal Article · Fri May 15 04:00:00 EDT 2015 · AIP Conference Proceedings

DOI:https://doi.org/10.1063/1.4915639· OSTI ID:22391649

Rosli, Norhayati; Jusoh Awang, Rahimah ^[1]; Bahar, Arifah; Yeak, S. H. ^[2]

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1. Faculty of Industrial Science and Technology, Universiti Malaysia Pahang, Lebuhraya Tun Razak, 26300, Gambang, Pahang (Malaysia)
2. Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor (Malaysia)

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.

• OSTI ID: 22391649
• Journal Information: AIP Conference Proceedings, Journal Name: AIP Conference Proceedings Journal Issue: 1 Vol. 1660; ISSN APCPCS; ISSN 0094-243X
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
APPROXIMATIONS
COMPARATIVE EVALUATIONS
DIFFERENTIAL EQUATIONS
ERRORS
EXACT SOLUTIONS
RUNGE-KUTTA METHOD
SERIES EXPANSION
STOCHASTIC PROCESSES