Abstract
A class ofimplicit Runge-Kutta schemes for stochastic differential equations affected bymultiplicative Gaussian white noise is shown to be optimal with respect to global order of convergence in quadratic mean. A test equation is proposed in order to investigate the stability of discretization methods for systems of this kind. Herestability is intended in a truly probabilistic sense, as opposed to the recently introduced extension of A-stability to the stochastic context, given for systems with additive noise. Stability regions for the optimal class are also given.
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Partially supported by the Italian Consiglio Nazionale delle Ricerche.
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Hernandez, D.B., Spigler, R. Convergence and stability of implicit runge-kutta methods for systems with multiplicative noise. BIT 33, 654–669 (1993). https://doi.org/10.1007/BF01990541
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DOI: https://doi.org/10.1007/BF01990541