Author:
Buckwar Evelyn,D’Ambrosio Raffaele
Abstract
AbstractThe aim of this paper is 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 analysed 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.
Funder
Istituto Nazionale di Alta Matematica ”Francesco Severi”
Ministero dell’Istruzione, dell’Università e della Ricerca
Università degli Studi dell’Aquila
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
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