Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods

Vaz'he Rahimi, Davood Ahmadian and Luca Vincenzo Ballestra

Applied Mathematics and Computation, 2024, vol. 470, issue C

Abstract: This research paper investigates the convergence and stability of two diagonal drift-implicit second-order stochastic Runge-Kutta methods for weak approximation of systems containing three-dimensional drift and noise terms in Itô stochastic differential equations. The first method is based on the approach presented by Debrabant and Rößler (2008) [5], while the second method utilizes a Butcher table that, to the best of our knowledge, has not been used in previous research. We compare the convergence and stability of both methods and analyze their respective stability regions. The results show that the method using the newly introduced Butcher table is not only reliable but also highly efficient.

Keywords: Second–order; Stochastic Runge–Kutta method; Mean–square stability; Butcher table (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0096300324000420
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:470:y:2024:i:c:s0096300324000420

DOI: 10.1016/j.amc.2024.128570

Access Statistics for this article

Applied Mathematics and Computation is currently edited by Theodore Simos

More articles in Applied Mathematics and Computation from Elsevier
Bibliographic data for series maintained by Catherine Liu ().