2-Stage stochastic Runge-Kutta for stochastic delay differential equations
This paper proposes a newly developed one-step derivative-free method, that is 2-stage stochastic Runge-Kutta (SRK2) to approximate the solution of stochastic delay differential equations (SDDEs) with a constant time lag, r > 0. General formulation of stochastic Runge-Kutta for SDDEs is introduce...
| Main Authors: | , , , |
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| Format: | Conference or Workshop Item |
| Published: |
2015
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| Subjects: |