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

DOI10.1016/J.APNUM.2008.03.011zbMATH Open1166.65304arXiv1303.5104OpenAlexW2095240846MaRDI QIDQ1007381FDOQ1007381

Kristian Debrabant, Andreas Rößler

Publication date: 20 March 2009

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

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.

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

Recommendations

• Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
• Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
• Implicit stochastic Runge-Kutta methods for stochastic differential equations
• Weak order drift-implicit Runge-Kutta methods for stochastic differential equations
• Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations

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)

Cites Work

• Title not available (Why is that?)
• A survey of numerical methods for stochastic differential equations
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Balanced Implicit Methods for Stiff Stochastic Systems
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
• A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
• Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
• Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
• Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
• \(A\)-stability of Runge-Kutta methods for systems with additive noise
• Implicit stochastic Runge-Kutta methods for stochastic differential equations
• The Invariance of Asymptotic Laws of Linear Stochastic Systems under Discretization
• Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
• Runge-Kutta methods for Itô stochastic differential equations with scalar noise
• Stability of weak numerical schemes for stochastic differential equations

Cited In (19)

• 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
• Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
• Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations
• 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
• 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
• Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
• New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations
• Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
• Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
• A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems

This page was built for publication: Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1007381)