TY - JOUR
T1 - Runge–Kutta Lawson schemes for stochastic differential equations
AU - Debrabant, Kristian
AU - Kværnø, Anne
AU - Mattsson, Nicky Cordua
PY - 2021
Y1 - 2021
N2 - 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.
AB - 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.
KW - Mean-square stability
KW - Stochastic Lawson
KW - Stochastic Runge–Kutta
KW - Systems of stochastic differential equations
U2 - 10.1007/s10543-020-00839-8
DO - 10.1007/s10543-020-00839-8
M3 - Journal article
SN - 0006-3835
VL - 61
SP - 381
EP - 409
JO - BIT Numerical Mathematics
JF - BIT Numerical Mathematics
IS - 2
ER -