Y. Komori, A. Eremin and K. Burrage (2018), S-ROCK methods for stochastic
delay differential equations with one fixed delay, Technical Report CSSE-46,
Faculty of Computer Science & Systems Engineering, Kyushu Institute
of Technology.
Abstract
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.
The material in this report has been superseded by Y. Komori, A. Eremin and K. Burrage (2019).
The pdf file is obtainable from here.
Last updated: 2019/02/01