DOI

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.

Язык оригиналаанглийский
Страницы (с-по)345-354
Число страниц10
ЖурналJournal of Computational and Applied Mathematics
Том353
DOI
СостояниеОпубликовано - 1 июн 2019

    Предметные области Scopus

  • Вычислительная математика
  • Прикладная математика

ID: 37875692