Evelyn Buckwar, Renate Winkler,
"Asymptotic Mean-square Stability of Linear Multi-step Methods for SODEs"
, in PAMM - Proceedings in Applied Mathematics and Mechanics, Vol. 6, WILEY-VCH Verlag GmbH & Co. KGaA, Seite(n) 659?660, 2006, ISSN: 1617-7061
Original Titel:
Asymptotic Mean-square Stability of Linear Multi-step Methods for SODEs
Sprache des Titels:
Englisch
Original Kurzfassung:
In this article we present results of a linear stability analysis of stochastic linear multi-step methods for stochastic ordinary
differential equations. As in deterministic numerical analysis we use a linear time-invariant test equation and study when the
numerical approximation shares asymptotic properties in the mean-square sense of the exact solution of that test equation.
Sufficient conditions for asymptotic mean-square stability of stochastic linear two-step-Maruyama methods are obtained with
the aide of Lyapunov-type functionals. In particular we study the asymptotic mean-square stability of stochastic counterparts
of two-step Adams-Bashforth- and Adams-Moulton-methods and the BDF method.
Sprache der Kurzfassung:
Englisch
Journal:
PAMM - Proceedings in Applied Mathematics and Mechanics
Forschungs-