Magnus Methods for Stochastic Delay-Differential Equations
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866916802846523392 |
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| author | Griggs, Mitchell T. Burrage, Kevin Burrage, Pamela M. |
| author_facet | Griggs, Mitchell T. Burrage, Kevin Burrage, Pamela M. |
| contents | This paper introduces Magnus-based methods for solving stochastic delay-differential equations (SDDEs). We construct Magnus--Euler--Maruyama (MEM) and Magnus--Milstein (MM) schemes by combining stochastic Magnus integrators with Taylor methods for SDDEs. These schemes are applied incrementally between multiples of the delay times. We present proofs of their convergence orders and demonstrate these rates through numerical examples and error graphs. Among the examples, we apply the MEM and MM schemes to both linear and nonlinear problems. We also apply the MEM scheme to a stochastic partial delay-differential equation (SPDDE), comparing its performance with the traditional Euler--Maruyama (EM) method. Under fine spatial discretization, the MEM scheme remains numerically stable while the EM method becomes unstable, yielding a significant computational advantage. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2506_16908 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Magnus Methods for Stochastic Delay-Differential Equations Griggs, Mitchell T. Burrage, Kevin Burrage, Pamela M. Numerical Analysis 65C30, 60H35, 34K50, 65L05, 65F60 This paper introduces Magnus-based methods for solving stochastic delay-differential equations (SDDEs). We construct Magnus--Euler--Maruyama (MEM) and Magnus--Milstein (MM) schemes by combining stochastic Magnus integrators with Taylor methods for SDDEs. These schemes are applied incrementally between multiples of the delay times. We present proofs of their convergence orders and demonstrate these rates through numerical examples and error graphs. Among the examples, we apply the MEM and MM schemes to both linear and nonlinear problems. We also apply the MEM scheme to a stochastic partial delay-differential equation (SPDDE), comparing its performance with the traditional Euler--Maruyama (EM) method. Under fine spatial discretization, the MEM scheme remains numerically stable while the EM method becomes unstable, yielding a significant computational advantage. |
| title | Magnus Methods for Stochastic Delay-Differential Equations |
| topic | Numerical Analysis 65C30, 60H35, 34K50, 65L05, 65F60 |
| url | https://arxiv.org/abs/2506.16908 |