This paper adapts the explicit stabilized method, termed the Stochastic Second kind Orthogonal Runge-Kutta-Chebyshev (SK-ROCK) method, for solving Itô stochastic delay differential equations (SDDEs). The SK-ROCK method achieves an extended mean-square stability region along the negative real axis, addressing the limitations of existing explicit methods in handling stiffness and delayed interactions. By employing root locus techniques, we rigorously derive the delay-dependent asymptotic mean-square stability conditions of the proposed method. Numerical experiments validate both the convergence order and enhanced stability performance of SK-ROCK, demonstrating its efficacy in practical applications.
Translated title of the contributionDelay Dependent Stability Analysis of SK-ROCK Methods for Stochastic Delay Differential Equations
Original languageChinese
Pages (from-to)601-613
Number of pages13
Journal应用数学进展
Volume14
Issue number4
DOIs
StatePublished - Apr 2025

    Scopus subject areas

  • Numerical Analysis

ID: 138384237