Mitchell T. Griggs

collaborators

2 papers

math.NA2026

Implementation of Milstein Schemes for Stochastic Delay-Differential Equations with Arbitrary Fixed Delays

Mitchell T. Griggs, Kevin Burrage, Pamela M. Burrage

This paper develops methods for numerically solving stochastic delay-differential equations (SDDEs) with multiple fixed delays that do not align with a uniform time mesh. We focus…

math.NA2025

Magnus Methods for Stochastic Delay-Differential Equations

Mitchell T. Griggs, Kevin Burrage, Pamela M. Burrage

This paper introduces Magnus-based methods for solving stochastic delay-differential equations (SDDEs). We construct Magnus--Euler--Maruyama (MEM) and Magnus--Milstein (MM) schemes…