, Volume 33, Issue 4, pp 654-669

Convergence and stability of implicit runge-kutta methods for systems with multiplicative noise

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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.

Partially supported by the Italian Consiglio Nazionale delle Ricerche.