Two-step Runge-Kutta methods for stochastic differential equations

D’Ambrosio, Raffaele and Carmela Scalone

Applied Mathematics and Computation, 2021, vol. 403, issue C

Abstract: We introduce a theory of two-step Runge-Kutta (TSRK) methods for stochastic differential equations, arising from the perturbation of the corresponding TSRK methods for deterministic problems. We present a proof of convergence and study the mean-square stability properties. Numerical experiments confirming the theoretical results are provided.

Keywords: Stochastic differential equations; Stochastic two-step Runge-Kutta methods; Mean-square stability analysis (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:403:y:2021:i:c:s0096300320308833

DOI: 10.1016/j.amc.2020.125930

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