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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 journalArticlepeer-review

Harvard

Komori, Y, Eremin, A & Burrage, K 2019, 'S-ROCK methods for stochastic delay differential equations with one fixed delay', Journal of Computational and Applied Mathematics, vol. 353, pp. 345-354. https://doi.org/10.1016/j.cam.2018.12.042

APA

Komori, Y., Eremin, A., & Burrage, K. (2019). S-ROCK methods for stochastic delay differential equations with one fixed delay. Journal of Computational and Applied Mathematics, 353, 345-354. https://doi.org/10.1016/j.cam.2018.12.042

Vancouver

Komori Y, Eremin A, Burrage K. S-ROCK methods for stochastic delay differential equations with one fixed delay. Journal of Computational and Applied Mathematics. 2019 Jun 1;353:345-354. https://doi.org/10.1016/j.cam.2018.12.042

Author

Komori, Yoshio ; Eremin, Alexey ; Burrage, Kevin. / S-ROCK methods for stochastic delay differential equations with one fixed delay. In: Journal of Computational and Applied Mathematics. 2019 ; Vol. 353. pp. 345-354.

BibTeX

@article{ee298f254bfc41e18546f5e1738a056f,
title = "S-ROCK methods for stochastic delay differential equations with one fixed delay",
abstract = "We propose stabilized explicit stochastic Runge–Kutta methods of strong order one half for It{\^o} 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.",
keywords = "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",
author = "Yoshio Komori and Alexey Eremin and Kevin Burrage",
year = "2019",
month = jun,
day = "1",
doi = "10.1016/j.cam.2018.12.042",
language = "English",
volume = "353",
pages = "345--354",
journal = "Journal of Computational and Applied Mathematics",
issn = "0377-0427",
publisher = "Elsevier",

}

RIS

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