The paper is focused on analyzing the linear stability properties of stochastic Runge–Kutta (SRK) methods interpreted as a stochastic perturbation of the corresponding deterministic Runge–Kutta methods. In particular, we give a condition such that deterministic A-stability is automatically inherited by stochastic Runge–Kutta methods as mean-square A-stability. This issue provides classes of mean-square A-stable SRK methods straightforwardly.
A-stability preserving perturbation of Runge–Kutta methods for stochastic differential equations
Citro V.;
2020
Abstract
The paper is focused on analyzing the linear stability properties of stochastic Runge–Kutta (SRK) methods interpreted as a stochastic perturbation of the corresponding deterministic Runge–Kutta methods. In particular, we give a condition such that deterministic A-stability is automatically inherited by stochastic Runge–Kutta methods as mean-square A-stability. This issue provides classes of mean-square A-stable SRK methods straightforwardly.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
