SciCADE 2013
International Conference on Scientific Computation and Differential Equations
September 16-20, 2013, Valladolid (Spain)

Invited Talk

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Stability analysis for stiffly accurate SRK methods

A. Rößler, D. Küpper and A. Kv\aernø

In the present talk, we deal with the numerical solution of stochastic differential-algebraic equations (SDAEs) of index one that are driven by a scalar Brownian motion. Recently, a class of stiffly accurate stochastic Runge-Kutta (SRK) methods has been proposed for the strong numerical solution. These SRK methods turned out to attain strong order one if they are applied to SDAEs and they are easy to implement. Considering this class of implicit SRK methods, we present some special families of approximation schemes that possess very good stability properties if their mean-square stability is analysed.

[1] D. Küpper, A. Kv\aernø and A. Rößler, A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise, BIT Numerical Mathematics, Vol. 52, No. 2, (2012), pp. 437-455.

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