Add to ORKGThis 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 introduced and Stratonovich Taylor series expansion for numerical solution of SRK2 is presented. Local truncation error of SRK2 is measured by comparing the Stratonovich Taylor expansion of the exact solution with the computed solution. Numerical experiment is performed to assure the validity of the method in simulating the strong solution of SDDEs
AbstractThe subject of this paper is the analytic approximation method for solving stochastic differ...
This thesis describes the implementation of one-step block methods of Runge-Kutta type for solving s...
AbstractIn this paper the quasi-Monte Carlo methods for Runge–Kutta solution techniques of different...
This paper proposes a newly developed one-step derivative-free method, that is 2-stage stochastic Ru...
Random effect and time delay are inherent properties of many real phenomena around us, hence it is r...
This paper demonstrates a systematic derivation of high order numerical methods from stochastic Tayl...
This paper demonstrates a systematic derivation of high order numerical methods from stochastic Tayl...
This article demonstrates a systematic derivation of stochastic Taylor methods for solving stochasti...
Introduction to delay differential equations (DDEs) and their examples are presented. The General fo...
This paper is devoted to investigate the performance of stochastic Taylor methods and derivative-fre...
We propose stabilized explicit stochastic Runge–Kutta methods of strong order one half for Itô stoch...
AbstractThe way to obtain deterministic Runge–Kutta methods from Taylor approximations is generalize...
Stochastic delay differential equations (SDDEs) are systems of differential equations with a time la...
Stochastic differential equation (SDE) models play a prominent role in many application areas includ...
A new explicit stochastic Runge-Kutta scheme of weak order 2 is proposed for non-commuting stochasti...
AbstractThe subject of this paper is the analytic approximation method for solving stochastic differ...
This thesis describes the implementation of one-step block methods of Runge-Kutta type for solving s...
AbstractIn this paper the quasi-Monte Carlo methods for Runge–Kutta solution techniques of different...
This paper proposes a newly developed one-step derivative-free method, that is 2-stage stochastic Ru...
Random effect and time delay are inherent properties of many real phenomena around us, hence it is r...
This paper demonstrates a systematic derivation of high order numerical methods from stochastic Tayl...
This paper demonstrates a systematic derivation of high order numerical methods from stochastic Tayl...
This article demonstrates a systematic derivation of stochastic Taylor methods for solving stochasti...
Introduction to delay differential equations (DDEs) and their examples are presented. The General fo...
This paper is devoted to investigate the performance of stochastic Taylor methods and derivative-fre...
We propose stabilized explicit stochastic Runge–Kutta methods of strong order one half for Itô stoch...
AbstractThe way to obtain deterministic Runge–Kutta methods from Taylor approximations is generalize...
Stochastic delay differential equations (SDDEs) are systems of differential equations with a time la...
Stochastic differential equation (SDE) models play a prominent role in many application areas includ...
A new explicit stochastic Runge-Kutta scheme of weak order 2 is proposed for non-commuting stochasti...
AbstractThe subject of this paper is the analytic approximation method for solving stochastic differ...
This thesis describes the implementation of one-step block methods of Runge-Kutta type for solving s...
AbstractIn this paper the quasi-Monte Carlo methods for Runge–Kutta solution techniques of different...