Stability Analysis of 4-Stage Stochastic Runge-Kutta Method (SRK4) and Specific Stochastic Runge-Kutta Method (SRKS1.5) for Stochastic Differential Equations
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.
KeywordsStochastic differential equations Stochastic Runge-kutta Mean square stable Explicit method General mean square stable
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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