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

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Proceedings of the Third International Conference on Computing, Mathematics and Statistics (iCMS2017)

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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.

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Acknowledgements

We would like to thank the Ministry of Education (MOE) and Research and Innovation Department, Universiti Malaysia Pahang (UMP) for their financial supports through FRGS Vote No: RDU130122 and Internal UMP Grant RDU1703190.

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Authors and Affiliations

  1. Faculty of Industrial Sciences & Technology, Universiti Malaysia Pahang, 26300, Gambang, Pahang, Malaysia

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

Authors
  1. Noor Amalina Nisa Ariffin
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  2. Norhayati Rosli
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  3. Abdul Rahman Mohd Kasim
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Corresponding author

Correspondence to Noor Amalina Nisa Ariffin .

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Editors and Affiliations

  1. Universiti Teknologi MARA (UiTM) Kedah , Sungai Petani, Kedah, Malaysia

    Liew-Kee Kor

  2. Universiti Teknologi MARA (UiTM) Kedah, Sungai Petani, Kedah, Malaysia

    Abd-Razak Ahmad

  3. Universiti Teknologi MARA (UiTM) Kedah, Sungai Petani, Kedah, Malaysia

    Zanariah Idrus

  4. Universiti Teknologi MARA (UiTM) Kedah, Sungai Petani, Kedah, Malaysia

    Kamarul Ariffin Mansor

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Ariffin, N.A.N., Rosli, N., Kasim, A.R.M. (2019). Stability Analysis of 4-Stage Stochastic Runge-Kutta Method (SRK4) and Specific Stochastic Runge-Kutta Method (SRKS1.5) for Stochastic Differential Equations. In: Kor, LK., Ahmad, AR., Idrus, Z., Mansor, K. (eds) Proceedings of the Third International Conference on Computing, Mathematics and Statistics (iCMS2017). Springer, Singapore. https://doi.org/10.1007/978-981-13-7279-7_23

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

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  • Publisher Name: Springer, Singapore

  • Print ISBN: 978-981-13-7278-0

  • Online ISBN: 978-981-13-7279-7

  • eBook Packages: Computer ScienceComputer Science (R0)

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