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.
2021-01-01
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.File in questo prodotto:
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