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.

Rahimi, V., Ahmadian, D., Ballestra, L.V. (2024). Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods. APPLIED MATHEMATICS AND COMPUTATION, 470, 1-11 [10.1016/j.amc.2024.128570].

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

Ahmadian, Davood
;
Ballestra, Luca Vincenzo
2024

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.
2024
Rahimi, V., Ahmadian, D., Ballestra, L.V. (2024). Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods. APPLIED MATHEMATICS AND COMPUTATION, 470, 1-11 [10.1016/j.amc.2024.128570].
Rahimi, Vaz'he; Ahmadian, Davood; Ballestra, Luca Vincenzo
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/961584
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