A-stability and stochastic mean-square stability

D.J. Higham

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59 Citations (Scopus)

Abstract

This note extends and interprets a result of Saito and Mitsui [SIAM J. Numer. Anal., 33 (1996), pp. 2254-2267] for a method of Milstein. The result concerns mean-square stability on a stochastic differential equation test problem with multiplicative noise. he numerical method reduces to the Theta Method on deterministic problems. Saito and Mitsui showed that the deterministic A-stability property of the Theta Method does not carry through to the mean-square context in general, and gave a condition under which unconditional stability holds. The main purpose of this note is to emphasize that the approach of Saito and Mitsui makes it possible to quantify precisely the point where unconditional stability is lost in terms of the ratio of the drift (deterministic) and diffusion (stochastic) coefficients. This leads to a concept akin to deterministic A(alpha)-stability that may be useful in the stability analysis of more general methods. It is also shown that mean-square A-stability is recovered if the Theta Method parameter is increased beyond its normal range to the value 3/2.
Original languageEnglish
Pages (from-to)404-409
Number of pages5
JournalBIT Numerical Mathematics
Volume40
Issue number2
DOIs
Publication statusPublished - Jun 2000

Keywords

  • mean-square
  • Milstein method
  • multiplicative noise
  • Theta Method
  • computer science
  • applied mathematics

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