The paper is focused on the nonlinear stability analysis of stochastic θ-methods. In particular, we consider nonlinear stochastic differential equations such that the mean-square deviation between two solutions exponentially decays, i.e., a mean-square contractive behaviour is visible along the stochastic dynamics. We aim to make the same property visible also along the numerical dynamics generated by stochastic θ-methods: this issue is translated into sharp stepsize restrictions depending on parameters of the problem, here accurately estimated. A selection of numerical tests confirming the effectiveness of the analysis and its sharpness is also provided.

Mean-square contractivity of stochastic ϑ-methods

D'Ambrosio R.;Di Giovacchino S.
2021

Abstract

The paper is focused on the nonlinear stability analysis of stochastic θ-methods. In particular, we consider nonlinear stochastic differential equations such that the mean-square deviation between two solutions exponentially decays, i.e., a mean-square contractive behaviour is visible along the stochastic dynamics. We aim to make the same property visible also along the numerical dynamics generated by stochastic θ-methods: this issue is translated into sharp stepsize restrictions depending on parameters of the problem, here accurately estimated. A selection of numerical tests confirming the effectiveness of the analysis and its sharpness is also provided.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11697/176595
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