Exponential mean-square stability properties of stochastic linear multistep methods
The paper studies multistep methods for nonlinear stochastic differential equations. The definition of exponential mean-square contractivity is given for any two solutions of SDE. The authors develop a general analysis of the exponential mean-square stability properties of the general family of stochastic two-step methods. The following methods are analyzed: Adams-Moulton, Milne-Simpson, BDF2.
nonlinear stochastic differential equations
scientific article; zbMATH DE number 7380988
scientific article