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BIT Numerical Mathematics

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23.03.2021

Runge–Kutta Lawson schemes for stochastic differential equations

verfasst von: Kristian Debrabant, Anne Kværnø, Nicky Cordua Mattsson

Erschienen in: BIT Numerical Mathematics | Ausgabe 2/2021

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Abstract

In this paper, we present a framework to construct general stochastic Runge–Kutta Lawson schemes. We prove that the schemes inherit the consistency and convergence properties of the underlying Runge–Kutta scheme, and confirm this in some numerical experiments. We also investigate the stability properties of the methods and show for some examples, that the new schemes have improved stability properties compared to the underlying schemes.

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Titel: Runge–Kutta Lawson schemes for stochastic differential equations
verfasst von: Kristian Debrabant
Anne Kværnø
Nicky Cordua Mattsson
Publikationsdatum: 23.03.2021
Verlag: Springer Netherlands
Erschienen in: BIT Numerical Mathematics / Ausgabe 2/2021
Print ISSN: 0006-3835
Elektronische ISSN: 1572-9125
DOI: https://doi.org/10.1007/s10543-020-00839-8

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