The paper provides a nonlinear stability analysis for a class of stochastic Runge-Kutta methods, applied to problems generating mean-square contractive solutions. In particular, we show how this property is inherited along the solutions generated by the stochastic perturbation of an algebraically stable deterministic Runge-Kutta method. The effectiveness of the results is also confirmed by selected numerical experiments.

Nonlinear stability issues for stochastic Runge-Kutta methods

D’Ambrosio, Raffaele;Di Giovacchino, Stefano
2021-01-01

Abstract

The paper provides a nonlinear stability analysis for a class of stochastic Runge-Kutta methods, applied to problems generating mean-square contractive solutions. In particular, we show how this property is inherited along the solutions generated by the stochastic perturbation of an algebraically stable deterministic Runge-Kutta method. The effectiveness of the results is also confirmed by selected numerical experiments.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/150146
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