We present the analysis of exponential mean-square stability properties of nonlinear stochastic linear multistep methods. In particular it is known that, under certain hypothesis on the drift and diffusion terms of the equation, exponential mean-square contractivity is visible: the qualitative feature of the exact problem is here analyzed under the numerical perspective, to understand whether a stochastic linear multistep method can provide an analogous behaviour and which restrictions on the employed stepsize should be imposed in order to reproduce the contractive behaviour. Numerical experiments confirming the theoretical analysis are also given.

Exponential mean-square stability of numerical methods for nonlinear stochastic differential equations

D'AMBROSIO, RAFFAELE
2015

Abstract

We present the analysis of exponential mean-square stability properties of nonlinear stochastic linear multistep methods. In particular it is known that, under certain hypothesis on the drift and diffusion terms of the equation, exponential mean-square contractivity is visible: the qualitative feature of the exact problem is here analyzed under the numerical perspective, to understand whether a stochastic linear multistep method can provide an analogous behaviour and which restrictions on the employed stepsize should be imposed in order to reproduce the contractive behaviour. Numerical experiments confirming the theoretical analysis are also given.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/4657273
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