The second-order backward differentiation formula is unconditionally zero-stable

DOI10.1016/0168-9274(89)90030-5MaRDI QIDQ1119362zbMATH OpenOpenAlexFDO

Authors Robert D. Skeel

Publication date 1989

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0168-9274(89)90030-5

zbMATH Keywords

O-stabilityroundoffs errorsecond order backward differential formulastep-sizetruncation error

Mathematics Subject Classification ID

Nonlinear ordinary differential equations and systems (34A34) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Review text

It is well-known that the second order backward differential formula (BDF) is useful for stiff ordinary differential equations and partial differential equations. The authors show that the variable coefficient BDF of order two is \({\mathcal O}\)-stable regardless of the variation of the step-size. They also prove that the fixed coefficient BDF is only conditionally \({\mathcal O}\)-stable.

Recommendations

• On the zero stability of the variable order variable stepsize BDF- formulas
• Concerning the stability of BDF methods
• \(A_ 0\)-contractivity of the variable-step BDF's of order less than four
• Stability of numerical methods for ordinary differential equations
• Unified approach to spurious solutions introduced by time discretization Part II: BDF-like methods

Cites work

• Construction of Variable-Stepsize Multistep Formulas
• scientific article; zbMATH DE number 3468205 (Why is no real title available?)
• Parallel methods for ordinary differential equations
• The Convergence of Variable-Stepsize, Variable-Formula, Multistep Methods
• The Effect of Variable Mesh Size on the Stability of Multistep Methods
• Zero-stability properties of the three-ordinate variable stepsize variable formula methods

Cited in

(2)

• An accurate solution for the generalized Black-Scholes equations governing option pricing
• The behaviour of backward differentiation formulae in high-frequency modes

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