Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes (Q2629249)

This paper generalizes the concepts of C-stability and B-consistency used in stiff deterministic ordinary differential equations to stochastic differential equations. It then applies these concepts to establish the strong order \({1\over 2}\) convergence of the split-step implicit Euler method and a projected Euler-Maruyama method. This latter method is similar to projection methods used in geometric integration. Numerical results based on the stochastic Ginzburg-Landau multiplicative noise problem and the \({3\over 2}\)-stochastic volatility model with superlinear growing diffusion illustrate the theory.