Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
dc.contributor.author | Buckwar, Evelyn | |
dc.contributor.author | Horváth-Bokor, Rosza | |
dc.contributor.author | Winkler, Renate | |
dc.date.accessioned | 2017-06-15T17:40:32Z | |
dc.date.available | 2017-06-15T17:40:32Z | |
dc.date.created | 2005-11-03 | |
dc.date.issued | 2005-11-03 | |
dc.identifier.issn | 0863-0976 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/3249 | |
dc.description.abstract | We deal with linear multi-step methods for SDEs and study when the numerical appro\-xi\-mation shares asymptotic properties in the mean-square sense of the exact solution. As in deterministic numerical analysis we use a linear time-invariant test equation and perform a linear stability analysis. Standard approaches used either to analyse deterministic multi-step methods or stochastic one-step methods do not carry over to stochastic multi-step schemes. In order to obtain sufficient conditions for asymptotic mean-square stability of stochastic linear two-step-Maruyama methods we construct and apply Lyapunov-type functionals. In particular we study the asymptotic mean-square stability of stochastic counterparts of two-step Adams-Bashforth- and Adams-Moulton-methods, the Milne-Simpson method and the BDF method. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | Stochastic linear two-step-Maruyama methods | eng |
dc.subject | mean-square asymptotic stability | eng |
dc.subject | linear stability analysis | eng |
dc.subject | Lyapunov functionals | eng |
dc.subject.ddc | 510 Mathematik | |
dc.title | Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10052315 | |
dc.identifier.doi | http://dx.doi.org/10.18452/2597 | |
local.edoc.pages | 22 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2004 | |
dc.identifier.zdb | 2075199-0 | |
bua.series.name | Preprints aus dem Institut für Mathematik | |
bua.series.issuenumber | 2004,25 |