Runge-Kutta Lawson schemes for stochastic differential equations

09/25/2019

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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.

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Runge-Kutta Lawson schemes for stochastic differential equations

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