Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis

DOI10.1016/J.APNUM.2008.03.011MaRDI QIDQ1007381zbMATH OpenOpenAlexFDO

Authors Kristian Debrabant, Andreas Rößler

Publication date 20 March 2009

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.5104

zbMATH Keywords

stochastic differential equationasymptotic stabilitymean-square stabilityweak approximationimplicit methodstochastic Runge-Kutta method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Abstract: The class of stochastic Runge-Kutta methods for stochastic differential equations due to R"o{ss}ler is considered. Coefficient families of diagonally drift-implicit stochastic Runge-Kutta (DDISRK) methods of weak order one and two are calculated. Their asymptotic stability as well as mean-square stability (MS-stability) properties are studied for a linear stochastic test equation with multiplicative noise. The stability functions for the DDISRK methods are determined and their domains of stability are compared to the corresponding domain of stability of the considered test equation. Stability regions are presented for various coefficients of the families of DDISRK methods in order to determine step size restrictions such that the numerical approximation reproduces the characteristics of the solution process.

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Cited in

(20)

• Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise
• THE NUMERICAL STABILITY OF STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE
• A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
• Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations
• Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
• Weak second order S-ROCK methods for Stratonovich stochastic differential equations
• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
• Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
• A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise
• On the stability of some second order numerical methods for weak approximation of Itô SDEs
• Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
• Truncated Milstein method for non-autonomous stochastic differential equations and its modification
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• Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
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• Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems

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