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

DOI10.1016/j.cam.2018.12.042zbMath1417.65023OpenAlexW2911033488WikidataQ128605860 ScholiaQ128605860MaRDI QIDQ2423520

Yoshio Komori, Alexey S. Eremin, Kevin Burrage

Publication date: 20 June 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eprints.qut.edu.au/125018/1/S-ROCK%20methods%20for%20stochastic%20delay%20differential.pdf

zbMATH Keywords

strong approximationstochastic delay differential equationasymptotic mean square stabilityexplicit Runge-Kutta method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\), Adams predictor-corrector method for solving uncertain differential equation, Optimized low-dispersion and low-dissipation two-derivative Runge-Kutta method for wave equations, Double Hopf bifurcation in microbubble oscillators with delay coupling

Uses Software

• S-ROCK

Cites Work

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