Stability of explicit Runge-Kutta methods (Q1061464)

The classical theory of stability of explicit Runge-Kutta methods yields estimations of the form \(\| y_ n-\tilde y_ n\| \leq \| y_ 0-\tilde y_ 0\| e^{L(t_ n-t_ 0)},\) where L is related to the Lipschitz constant of the problems \(y'=f(t,y)\). For stable problems with ''large'' Lipschitz constants it is proposed to rewrite the differential equation in the form \(y'=Jy+g(t,y).\) The following result is given: If the eigenvalues of J lie in the negative half plane and if h is sufficiently small \((h\lambda_ i\) must lie in the stability region for all eigenvalues \(\lambda_ i\) of J) then the above estimation holds where L is now related to the Lipschitz constant of g. This is a stability result for explicit Runge-Kutta methods when applied to stiff (or mildly stiff) differential equations. Explicit methods are still not recommended for stiff problems.