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

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  • Rahimi, Vaz'he
  • Ahmadian, Davood
  • Ballestra, Luca Vincenzo

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.

Suggested Citation

  • Rahimi, Vaz'he & Ahmadian, Davood & Ballestra, Luca Vincenzo, 2024. "Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods," Applied Mathematics and Computation, Elsevier, vol. 470(C).
    • Handle: RePEc:eee:apmaco:v:470:y:2024:i:c:s0096300324000420
    DOI: 10.1016/j.amc.2024.128570
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    References listed on IDEAS

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    1. Haghighi, A. & Hosseini, S.M., 2014. "Analysis of asymptotic mean-square stability of a class of Runge–Kutta schemes for linear systems of stochastic differential equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 105(C), pages 17-48.
    2. G. N. Milstein & Eckhard Platen & H. Schurz, 1998. "Balanced Implicit Methods for Stiff Stochastic Systems," Published Paper Series 1998-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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