Exponential mean-square stability properties of stochastic linear multistep methods
| Autor: | Raffaele D'Ambrosio, Evelyn Buckwar |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Applied Mathematics
Nonlinear stability 010103 numerical & computational mathematics 01 natural sciences Stability (probability) Nonlinear stochastic differential equations Exponential function 010101 applied mathematics Computational Mathematics Nonlinear system Exponential mean-square stability Stochastic linear multistep methods Feature (machine learning) Applied mathematics Computational Science and Engineering 0101 mathematics Diffusion (business) Exponential mean-square contractivity Exponential mean square stability Linear multistep method Mathematics |
| Zdroj: | Advances in Computational Mathematics. 47 |
| ISSN: | 1572-9044 1019-7168 |
| DOI: | 10.1007/s10444-021-09879-2 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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