Exponential mean-square stability properties of stochastic linear multistep methods (Q2045092)
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| Language | Label | Description | Also known as |
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| English | Exponential mean-square stability properties of stochastic linear multistep methods |
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Exponential mean-square stability properties of stochastic linear multistep methods (English)
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11 August 2021
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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.
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exponential mean-square stability
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exponential mean-square contractivity
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nonlinear stochastic differential equations
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stochastic linear multistep methods
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nonlinear stability
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