Nonlinear stability issues for stochastic Runge-Kutta methods

Abstract 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.

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