We introduce a theory of two-step Runge-Kutta (TSRK) methods for stochastic differential equations, arising from the perturbation of the corresponding TSRK methods for deterministic problems. We present a proof of convergence and study the mean-square stability properties. Numerical experiments confirming the theoretical results are provided.

Two-step Runge-Kutta methods for stochastic differential equations

D'Ambrosio R.;Scalone C.
2021

Abstract

We introduce a theory of two-step Runge-Kutta (TSRK) methods for stochastic differential equations, arising from the perturbation of the corresponding TSRK methods for deterministic problems. We present a proof of convergence and study the mean-square stability properties. Numerical experiments confirming the theoretical results are provided.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11697/176596
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