Journal
COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION
Volume 94, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.cnsns.2020.105549
Keywords
Nonlinear stochastic differential equations; Nonlinear stability analysis; Stochastic Runge-Kutta methods
Categories
Funding
- GNCS-INDAM project
- PRIN2017-MIUR project
Ask authors/readers for more resources
This paper provides a nonlinear stability analysis for a class of stochastic Runge-Kutta methods applied to problems generating mean-square contractive solutions. The inherited property along the solutions generated by the stochastic perturbation of an algebraically stable deterministic Runge-Kutta method was demonstrated. The effectiveness of the results was confirmed by selected numerical experiments.
The paper provides a nonlinear stability analysis for a class of stochastic Runge-Kutta methods, applied to problems generating mean-square contractive solutions. In particular, we show how this property is inherited along the solutions generated by the stochastic perturbation of an algebraically stable deterministic Runge-Kutta method. The effectiveness of the results is also confirmed by selected numerical experiments. (C) 2020 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available
Share Paper
