A new one-parameter linear benchmark SDE is derived and used to demonstrate that lower-order explicit stochastic integrators can outperform higher-order ones in stability and accuracy over ranges of time-step sizes.
Numerical treatment of stochastic differential equations.SIAM Journal on Numerical Analysis, 19(3):604–613, 1982
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Numerical stability revisited: A family of benchmark problems for the analysis of explicit stochastic differential equation integrators
A new one-parameter linear benchmark SDE is derived and used to demonstrate that lower-order explicit stochastic integrators can outperform higher-order ones in stability and accuracy over ranges of time-step sizes.