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arXiv:1909.11629 [math.NA]AbstractReferencesReviewsResources

Runge-Kutta Lawson schemes for stochastic differential equations

Kristian Debrabant, Anne Kværnø, Nicky Cordua Mattsson

Published 2019-09-25Version 1

In this paper, we present a framework to construct general stochastic Runge--Kutta Lawson schemes. We prove that the schemes inherit the consistency and convergence properties of the underlying Runge--Kutta scheme, and can have larger stability regions. Some numerical examples that verify these results are provided.

Categories: math.NA, cs.NA
Subjects: 60H35, 60H10, 65L20, 93E15
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