Research output: Contribution to journal › Article › peer-review
S-ROCK methods for stochastic delay differential equations with one fixed delay. / Komori, Yoshio; Eremin, Alexey; Burrage, Kevin.
In: Journal of Computational and Applied Mathematics, Vol. 353, 01.06.2019, p. 345-354.Research output: Contribution to journal › Article › peer-review
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TY - JOUR
T1 - S-ROCK methods for stochastic delay differential equations with one fixed delay
AU - Komori, Yoshio
AU - Eremin, Alexey
AU - Burrage, Kevin
PY - 2019/6/1
Y1 - 2019/6/1
N2 - 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.
AB - 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.
KW - Asymptotic mean square stability
KW - Explicit Runge–Kutta method
KW - Stochastic delay differential equation
KW - Strong approximation
KW - NUMERICAL-METHODS
KW - MARUYAMA METHODS
KW - APPROXIMATIONS
KW - STABILITY
KW - CHEBYSHEV METHODS
KW - Explicit Runge-Kutta method
KW - EXPLICIT
UR - http://www.scopus.com/inward/record.url?scp=85060101996&partnerID=8YFLogxK
U2 - 10.1016/j.cam.2018.12.042
DO - 10.1016/j.cam.2018.12.042
M3 - Article
AN - SCOPUS:85060101996
VL - 353
SP - 345
EP - 354
JO - Journal of Computational and Applied Mathematics
JF - Journal of Computational and Applied Mathematics
SN - 0377-0427
ER -
ID: 37875692