Exponential mean-square stability properties of stochastic linear multistep methods
type: Item
instance of: scholarly article
title: Exponential mean-square stability properties of stochastic linear multistep methods
zbMATH Open document ID: 1496.65007
author: Evelyn Buckwar
author: Raffaele D'Ambrosio
published in: Advances in Computational Mathematics
publication date: 2021-08-11T00:00:00Z
review text: 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.
reviewed by: Rózsa Horváth-Bokor
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 7380988
zbMATH Keywords: exponential mean-square stability
zbMATH Keywords: exponential mean-square contractivity
zbMATH Keywords: nonlinear stochastic differential equations
zbMATH Keywords: stochastic linear multistep methods
zbMATH Keywords: nonlinear stability
describes a project that uses: RODAS
MaRDI profile type: Publication
full work available at URL: s10444-021-09879-2
OpenAlex ID: W3183455149
Wikidata QID: Q115605493
cites work: Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition
cites work: Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
cites work: Thirty years of G-stability
cites work: Numerical Methods for Ordinary Differential Equations
cites work: Drift-preserving numerical integrators for stochastic Hamiltonian systems
cites work: A special stability problem for linear multistep methods
cites work: Q4122713
cites work: Nonlinear stability issues for stochastic Runge-Kutta methods
cites work: Q3687624
cites work: Two-step Bdf Time Discretisation of Nonlinear Evolution Problems Governed by Monotone Operators with Strongly Continuous Perturbations
cites work: Q4714145
cites work: Numerical methods for nonlinear stochastic differential equations with jumps
cites work: Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
cites work: Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
cites work: Strong Stability for Additive Runge–Kutta Methods
cites work: Q3999821
cites work: Q4303533
cites work: Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations
DOI: 10.1007/S10444-021-09879-2
Recommended article: Exponential mean square stability of numerical methods for systems of stochastic differential equations
Recommended article: Q3193401
Recommended article: Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
Recommended article: Q3745190
Recommended article: Q4839189
Recommended article: Exponential stability in mean square for stochastic differential equations
Recommended article: Q3501182
Recommended article: Q4996755
Recommended article: On the stability of implicit-explicit linear multistep methods
description: scientific article; zbMATH DE number 7380988