The paper is focused on analyzing the linear stability properties of stochastic Runge–Kutta (SRK) methods interpreted as a stochastic perturbation of the corresponding deterministic Runge–Kutta methods. In particular, we give a condition such that deterministic A-stability is automatically inherited by stochastic Runge–Kutta methods as mean-square A-stability. This issue provides classes of mean-square A-stable SRK methods straightforwardly.

A-stability preserving perturbation of Runge–Kutta methods for stochastic differential equations

D'Ambrosio R.
;
Di Giovacchino S.
2019-01-01

Abstract

The paper is focused on analyzing the linear stability properties of stochastic Runge–Kutta (SRK) methods interpreted as a stochastic perturbation of the corresponding deterministic Runge–Kutta methods. In particular, we give a condition such that deterministic A-stability is automatically inherited by stochastic Runge–Kutta methods as mean-square A-stability. This issue provides classes of mean-square A-stable SRK methods straightforwardly.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/142350
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