\(A\)-stability and stochastic mean-square stability (Q1577729)
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scientific article; zbMATH DE number 1496100
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | \(A\)-stability and stochastic mean-square stability |
scientific article; zbMATH DE number 1496100 |
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\(A\)-stability and stochastic mean-square stability (English)
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27 August 2000
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The author considers the mean-square stability of the stochastic differential equation for the test problem with multiplicative noise proposed by \textit{Y. Saito} and \textit{T. Mitsui} [SIAM J. Appl. Math. 56, No. 5, 1400-1423 (1996; Zbl 0869.60053)]. It quantifies precisely the point where unconditional stability is lost. This leads to a concept that may be useful in the stability analysis of a wider class of methods.
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\(A\)-stability
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mean-square stability
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stochastic differential equation
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unconditional stability
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\(A\)-stable methods
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