Runge-Kutta Lawson schemes for stochastic differential equations
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Publication:2026355
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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: In this paper, we present a framework to construct general stochastic Runge-Kutta Lawson schemes. We prove that the schemes inherit the consistency and convergence properties of the underlying Runge-Kutta scheme, and confirm this in some numerical experiments. We also investigate the stability properties of the methods and show for some examples, that the new schemes have improved stability properties compared to the underlying schemes.
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.
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Cited in
(12)- Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation
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