[PDF] Top 20 Stochastic Runge-Kutta method for stochastic delay differential equations
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Stochastic Runge-Kutta method for stochastic delay differential equations
... This study was undertaken to generalize the convergence proof of numerical methods for SDDEs when the drift and diffusion are Taylor expansion as well as to propose a derivative–free method, i.e. SRK up to order ... See full document
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Convergence and stability of the exponential Euler method for semi linear stochastic delay differential equations
... Most stochastic dif- ferential equations (SDEs) are nonlinear and cannot be solved explicitly, whence numerical solutions are required in ...to stochastic delay dif- ferential equations ... See full document
19
On the averaging principle for stochastic delay differential equations with jumps
... of stochastic delay differential equations (SDDEs) with variable delays and ...averaging method are concen- trated on the case of SDEs, there are few results concerning the averaging principle ... See full document
19
The averaging method for stochastic differential delay equations under non Lipschitz conditions
... Stochastic differential equations (SDEs) give models for systems, the future state of which is independent of the past states and is determined solely by the present. How- ever, for real systems, the future ... See full document
12
Differential transform method for a a nonlinear system of differential equations arising in HIV infection of CD4+T cell
... In this paper, the HIV Infection of CD4 + T cells model is solved by DTM and fourth order Runge- Kutta methods, successfully. The results obtained by these two methods are plotted in Figure 1. Comparison of ... See full document
9
Approximate solutions of stochastic differential delay equations with Markovian switching
... Moreover, most of the SDDEwMSs do not have explicit solutions whence the nu- merical solutions are required. The classical convergence theory for numerical methods to SDEs requires the coefficients of the ... See full document
15
Analysis of stability for stochastic delay integro differential equations
... Stochastic delay integro-differential equations, as the mathematical model, widely apply in biology, physics, economics and finance [1, ...the stochastic delay integro- differential ... See full document
13
Implicit second and third orders runge-kutta for handling discontinuities in delay differential equations
... implicit Runge-Kutta has the better performance than higher order explicit ...our method based on implicit RK 2 and RK 3 performs quite well compared to dde23 from Matlab and the scheme from ... See full document
13
Stability of Exponential Euler Method for Linear Stochastic Delay Differential Equations
... of stochastic differential delay equations under the generalized Khasminskii-type conditions, Applied Mathematics and Computation, 217(2011), ...Euler method for impulsive ... See full document
6
Analysis of Composite Runge Kutta Methods and New One-Step Technique for Stiff Delay Differential Equations
... Several one-step techniques using variety of interpolating polynomials and functions have been developed to solve ODEs. In 1976, Fatunla [13] gave a new algorithm which consists of the interpolating function of two ... See full document
10
Asymptotical stability of Runge Kutta for a class of impulsive differential equations
... differential equations without impulses and they noted that such equations were comprehensively related to impulsive and difference equa- tions ...differential equations with piecewise continuous ... See full document
14
Runge-Kutta Nystrom method for solving fuzzy differential equations under generalized differentiability
... Remark 4.4 By Theorem 3.1 we observe that the solution of the fuzzy dif- ferential equations is not unique. This may seem a deficiency of the method. However, this disadvantage can be converted into an ... See full document
14
Asymptotic behaviours of stochastic differential delay equations
... his stochastic calculus more than 50 years ago, the theory of stochastic differential equations has been developed very ...second method has been developed to deal with ... See full document
7
Performance Analysis and Maintenance Scheduling of a System using Runge-Kutta Method
... integro-differential equations governing the behaviour of the system by using the supplementary variables method, probability arguments and limiting ... See full document
14
Stabilisation of hybrid stochastic differential equations by delay feedback control
... the method of linear matrix inequalities (LMIs) (see ...LMI method is: (i) Design a positive-definite quadratic Lyapunov function or functional V ...o differential dV ... See full document
20
Structure preserving stochastic Runge–Kutta–Nyström methods for nonlinear second order stochastic differential equations with multiplicative noise
... Second-order stochastic Hamiltonian systems driven by Gaussian noises are significant in scientific applications [17], which can describe the classical Hamiltonian systems per- turbed by random ...construct ... See full document
18
The truncated Euler-Maruyama method for stochastic differential delay equations
... This is an SDDE population model for two species (see, e.g., [2]). Our method can be applied to a more general SDDE model for multiple species. We only consider the two species case here in order to avoid the ... See full document
26
Stability of stochastic differential equations in infinite dimensions
... particular, stochastic partial differential equations with finite or infinite delays seem very important as models of biological, chemical, physical and eco- nomical ...non-autonomous ... See full document
203
Chebyshev spectral collocation method for stochastic delay differential equations
... to stochastic problems. Stochastic differential equations (SDEs) play a prominent role in a range of application areas, such as biology, chemistry, epidemiology, mechanics, microelectronics, economics ... See full document
12
Two Implicit Runge Kutta Methods for Stochastic Differential Equation
... “Three-Stage Stochastic Runge-Kutta Methods for Stochastic Differential Equaitons,” Journal of Com- putational and Applied Mathematics, ...of Stochastic Functional ... See full document
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