On mean-square stability properties of a new adaptive stochastic Runge-Kutta method (Q1002194)
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scientific article; zbMATH DE number 5518718
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| English | On mean-square stability properties of a new adaptive stochastic Runge-Kutta method |
scientific article; zbMATH DE number 5518718 |
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On mean-square stability properties of a new adaptive stochastic Runge-Kutta method (English)
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25 February 2009
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A new adaptive stochastic Runge-Kutta method is introduced to integrate stochastic differential equations by numerical simulations. Three local error estimators are used in a step-size selection mechanism based on a halving and doubling strategy. This adaptive method is applied to the simulation of a standard linear multiplicative noise test equation. It is then proved that the mean square stability region of the algorithm contains that of the equation. Some numerical experiments confirm the validity of the theoretical results.
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stochastic differential equation
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mean-square stability
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adaptive time-stepping
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forward-backward estimation
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stochastic Runge-Kutta method
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local error estimators
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step-size selection
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algorithm
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numerical experiments
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0.8664703369140625
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0.8493771553039551
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0.8436473608016968
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0.7964630722999573
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0.7938766479492188
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