A Lyapunov and Sacker-Sell spectral stability theory for one-step methods

DOI10.1007/S10543-018-0704-2MaRDI QIDQ1783382zbMATH OpenOpenAlexFDO

Authors Andrew Steyer, E. Van Vleck

Publication date 20 September 2018

Published in BIT (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.08943

zbMATH Keywords

Lyapunov exponentsstiffnessnonautonomous differential equationsSacker-Sell spectrumone-step methods

Mathematics Subject Classification ID

Numerical methods for stiff equations (65L04) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05) Numerical nonlinear stabilities in dynamical systems (65P40)

Abstract: Approximation theory for Lyapunov and Sacker-Sell spectra based upon QR techniques is used to analyze the stability of a one-step method solving a time-dependent, linear, ordinary differential equation (ODE) initial value problem in terms of the local error. Integral separation is used to characterize the conditioning of stability spectra calculations. In an approximate sense the stability of the numerical solution by a one-step method of a time-dependent linear ODE using real-valued, scalar, time-dependent, linear test equations is justified. This analysis is used to approximate exponential growth/decay rates on finite and infinite time intervals and establish global error bounds for one-step methods approximating uniformly stable trajectories of nonautonomous and nonlinear ODEs. A time-dependent stiffness indicator and a one-step method that switches between explicit and implicit Runge-Kutta methods based upon time-dependent stiffness are developed based upon the theoretical results.

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Cited in

(3)

• Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM
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• Underlying one-step methods and nonautonomous stability of general linear methods

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