We propose stabilized explicit stochastic Runge–Kutta methods of strong order one half for Itô stochastic delay differential equations with one fixed delay. The family of the methods is constructed by embedding Runge–Kutta–Chebyshev methods of order one for ordinary differential equations. The values of a damping parameter of the methods are determined appropriately in order to obtain excellent mean square stability properties. Numerical experiments are carried out to confirm their order of convergence and stability properties.

Original languageEnglish
Pages (from-to)345-354
Number of pages10
JournalJournal of Computational and Applied Mathematics
Volume353
DOIs
StatePublished - 1 Jun 2019

    Scopus subject areas

  • Computational Mathematics
  • Applied Mathematics

    Research areas

  • Asymptotic mean square stability, Explicit Runge–Kutta method, Stochastic delay differential equation, Strong approximation, NUMERICAL-METHODS, MARUYAMA METHODS, APPROXIMATIONS, STABILITY, CHEBYSHEV METHODS, Explicit Runge-Kutta method, EXPLICIT

ID: 37875692