Exponential mean-square stability properties of stochastic linear multistep methods

DOI10.1007/s10444-021-09879-2zbMath1496.65007OpenAlexW3183455149WikidataQ115605493 ScholiaQ115605493MaRDI QIDQ2045092

Raffaele D'Ambrosio, Evelyn Buckwar

Publication date: 11 August 2021

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10444-021-09879-2

zbMATH Keywords

nonlinear stabilitynonlinear stochastic differential equationsexponential mean-square stabilityexponential mean-square contractivitystochastic linear multistep methods

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations ⋮ A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations ⋮ On the conservative character of discretizations to Itô-Hamiltonian systems with small noise ⋮ Numerical conservation issues for the stochastic Korteweg-de Vries equation ⋮ Random periodic solutions of SDEs: existence, uniqueness and numerical issues ⋮ How do Monte Carlo estimates affect stochastic geometric numerical integration? ⋮ Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators ⋮ Nearly conservative multivalue methods with extended bounded parasitism

Uses Software

• RODAS

Cites Work

• Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition
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• Numerical Methods for Ordinary Differential Equations
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