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...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | en |
| Published: |
AIP Publishing
2015
|
| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/9227/1/2%E2%80%93stage%20stochastic%20Runge%E2%80%93Kutta%20for%20stochastic%20delay%20differential%20equations.pdf http://umpir.ump.edu.my/id/eprint/9227/ http://dx.doi.org/10.1063/1.4915639 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1831522637975650304 |
|---|---|
| author | Norhayati, Rosli Arifah, Bahar S. H., Yeak Rahimah, Jusoh |
| author_facet | Norhayati, Rosli Arifah, Bahar S. H., Yeak Rahimah, Jusoh |
| author_sort | Norhayati, Rosli |
| building | UMPSA Library |
| collection | Institutional Repository |
| content_provider | Universiti Malaysia Pahang Al-Sultan Abdullah |
| content_source | UMPSA Institutional Repository |
| continent | Asia |
| country | Malaysia |
| 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 |
| id | my.ump.umpir.9227 |
| institution | Universiti Malaysia Pahang |
| language | en |
| publishDate | 2015 |
| publisher | AIP Publishing |
| record_format | eprints |
| spelling | my.ump.umpir.92272018-05-23T03:12:13Z http://umpir.ump.edu.my/id/eprint/9227/ 2–stage Stochastic Runge–Kutta for Stochastic Delay Differential Equations Norhayati, Rosli Arifah, Bahar S. H., Yeak Rahimah, Jusoh Q Science (General) 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. AIP Publishing 2015 Conference or Workshop Item PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/9227/1/2%E2%80%93stage%20stochastic%20Runge%E2%80%93Kutta%20for%20stochastic%20delay%20differential%20equations.pdf 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 (Published) http://dx.doi.org/10.1063/1.4915639 |
| spellingShingle | Q Science (General) Norhayati, Rosli Arifah, Bahar S. H., Yeak Rahimah, Jusoh 2–stage Stochastic Runge–Kutta for Stochastic Delay Differential Equations |
| title | 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_short | 2–stage Stochastic Runge–Kutta for Stochastic Delay Differential Equations |
| title_sort | 2–stage stochastic runge–kutta for stochastic delay differential equations |
| topic | Q Science (General) |
| url | http://umpir.ump.edu.my/id/eprint/9227/1/2%E2%80%93stage%20stochastic%20Runge%E2%80%93Kutta%20for%20stochastic%20delay%20differential%20equations.pdf http://umpir.ump.edu.my/id/eprint/9227/ http://dx.doi.org/10.1063/1.4915639 |
| url_provider | http://umpir.ump.edu.my/ |