Stability Analysis of 4-Stage Stochastic Runge-Kutta Method (SRK4) and Specific Stochastic Runge-Kutta Method (SRKS1.5) for Stochastic Differential Equations

Noor Amalina Nisa Ariffin,Abdul Rahman Mohd Kasim,Norhayati Rosli

doi:10.1007/978-981-13-7279-7_23

Stability Analysis of 4-Stage Stochastic Runge-Kutta Method (SRK4) and Specific Stochastic Runge-Kutta Method (SRKS1.5) for Stochastic Differential Equations

Noor Amalina Nisa Ariffin, Abdul Rahman Mohd Kasim + Show 1 more

https://doi.org/10.1007/978-981-13-7279-7_23

Copy DOI

Publication Date: Jan 1, 2019

Citations: 1

Affiliation: Universiti Malaysia Pahang

#Stochastic Runge-Kutta Method #Stochastic Runge-Kutta + Show 8 more

Abstract
Full-Text PDF
Similar Papers

Abstract

This paper is devoted to investigate the mean-square stability of 4-stage stochastic Runge-Kutta (SRK4) and specific stochastic Runge-Kutta (SRKS1.5) methods for linear stochastic differential equations (SDEs). The mean-square stability functions of SRK4 and SRKS1.5 are derived. The regions in which the methods are stable in the mean-square sense are plotted. Numerical experiments are performed to verify the stability properties of both methods.

Full Text