Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise

DOI10.1016/J.APNUM.2015.04.003MaRDI QIDQ492922zbMATH OpenOpenAlexFDO

Authors Dominique Küpper, Anne Kværnø, Andreas Rößler

Publication date 21 August 2015

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

Full work available at URL https://arxiv.org/abs/1311.0809

zbMATH Keywords

\(A\)-stabilityclassificationmean-square stabilitystochastic differential-algebraic equationstochastic Runge-Kutta method

Mathematics Subject Classification ID

Implicit ordinary differential equations, differential-algebraic equations (34A09) Ordinary differential equations and systems with randomness (34F05) 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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for differential-algebraic equations (65L80)

Abstract: The problem of solving stochastic differential-algebraic equations (SDAEs) of index one with a scalar driving Brownian motion is considered. Recently, the authors proposed a class of stiffly accurate stochastic Runge-Kutta (SRK) methods that do not involve any pseudo-inverses or projectors for the numerical solution of the problem. Based on this class of approximation methods, a classification for the coefficients of stiffly accurate SRK methods attaining strong order 0.5 as well as strong order 1.0 are calculated. Further, the mean-square stability for the considered class of SRK methods is analysed. As the main result, families of A-stable efficient order 0.5 and 1.0 stiffly accurate SRK methods with a minimal number of stages for SDEs as well as for SDAEs are presented.

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Cited in

(8)

• Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations
• Stability analysis of high order Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
• A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
• A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise
• Runge-Kutta methods for stochastic differential-algebraic equations
• Criteria for robust finite-time stabilisation of linear singular systems with interval time-varying delay
• A class of stochastic Runge-Kutta methods for stochastic differential equations converging uniformly with order 1 in L^p-norm
• Strong convergence rates of stochastic theta Milstein methods for index-1 stochastic differential algebraic equations under non-globally Lipschitz conditions

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