Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise (Q1317867): Difference between revisions

A class of implicit Runge-Kutta schemes for stochastic differential equations affected by multiplicative Gaussian white noise is shown to be optimal with respect to global order of convergence in quadratic mean. A test equation is proposed in order to investigate the stability of discretization methods for systems of this kind. Here stability is intended in a truly probabilistic sense, as opposed to the recently introduced extension of \(A\)-stability to the stochastic context, given for systems with additive noise. Stability regions for the optimal class are also given.