Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4639052 | Journal of Computational and Applied Mathematics | 2014 | 12 Pages |
Abstract
The mean-square stability for two-step schemes applied to scalar stochastic differential equations is studied. Necessary and sufficient conditions in terms of the parameters of the schemes guaranteeing their MS-stability are derived. Particular members of the studied family are considered, their stability regions are plotted and compared with the stability region of the linear test equation. It is proved that the stochastic two-step BDF scheme is unconditionally MS-stable. Numerical experiments that confirm the theoretical results are shown.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
A. Tocino, M.J. Senosiain,