Exponential mean-square stability properties of stochastic linear multistep methods

被引：0
|
作者：
Evelyn Buckwar
Raffaele D’Ambrosio
机构：
[1] Johannes Kepler University of Linz,Institut für Stochastik
[2] University of Salerno,Department of Mathematics
来源：
Advances in Computational Mathematics | 2021年 / 47卷
关键词：
Exponential mean-square stability; Exponential mean-square contractivity; Nonlinear stochastic differential equations; Stochastic linear multistep methods; Nonlinear stability; 60H35; 65C30;
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学科分类号：
摘要：
The aim of this paper is the analysis of exponential mean-square stability properties of nonlinear stochastic linear multistep methods. In particular it is known that, under certain hypothesis on the drift and diffusion terms of the equation, exponential mean-square contractivity is visible: the qualitative feature of the exact problem is here analysed under the numerical perspective, to understand whether a stochastic linear multistep method can provide an analogous behaviour and which restrictions on the employed stepsize should be imposed in order to reproduce the contractive behaviour. Numerical experiments confirming the theoretical analysis are also given.
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