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.
Stability analysis of numerical schemes for stochastic differ- ential equations.SIAM Journal on Numerical Analysis, 33(6):2254–2267, 1996
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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.