S-ROCK methods for stochastic delay differential equations with one fixed delay

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:353

Article

Komori, Yoshio¹  Eremin, Alexey²  Burrage, Kevin³ 

[1] Kyushu Inst Technol, Dept Syst Design & Informat, Iizuka, Fukuoka 8208502, Japan

[2] St Petersburg State Univ, Dept Informat Syst, St Petersburg 198504, Russia

[3] Queensland Univ Technol, Sch Math, ARC Ctr Excellence Math & Stat Frontiers, Brisbane, Qld, Australia

关键词: Strong approximation;    Explicit Runge-Kutta method;    Stochastic delay differential equation;    Asymptotic mean square stability;   

DOI  :  10.1016/j.cam.2018.12.042

来源: Elsevier

【 摘 要 】

We propose stabilized explicit stochastic Runge-Kutta methods of strong order one half for Ito 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. (C) 2019 Elsevier B.V. All rights reserved.

【 授权许可】

Free