Runge-Kutta Lawson schemes for stochastic differential equations (Q2026355)

This paper develops Stochastic Runge-Kutta Lawson methods for a general class of semi-linear stochastic differential equations where the constant matrices all commute with one another. This means an exponential transformation can be applied to standard methods. It is shown that under certain conditions these Lawson methods inherit the strong and weak convergence of the underlying method. Some specific Lawson methods are given based on the Euler-Maruyama method, a Platen method and the midpoint method. A linear systems stability analysis is also given.