scholarly journals Transient spectral theory, stable and unstable cones and Gershgorinʼs theorem for finite-time differential equations

2011 ◽  
Vol 250 (11) ◽  
pp. 4177-4199 ◽  
Author(s):  
T.S. Doan ◽  
K. Palmer ◽  
S. Siegmund
Keyword(s):  
Differential Equations ◽  
Spectral Theory ◽  
Finite Time ◽  
Time Differential

scholarly journals Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

2003 ◽  
Vol 6 ◽  
pp. 297-313 ◽  
Author(s):  
Desmond J. Higham ◽  
Xuerong Mao ◽  
Andrew M. Stuart
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Numerical Method ◽  
Finite Time ◽  
Mean Square ◽  
Convergence Conditions ◽  
Finite Time Convergence ◽  
Mean Square Stability ◽  
Exponential Mean Square Stability ◽  
Positive Results

AbstractPositive results are proved here about the ability of numerical simulations to reproduce the exponential mean-square stability of stochastic differential equations (SDEs). The first set of results applies under finite-time convergence conditions on the numerical method. Under these conditions, the exponential mean-square stability of the SDE and that of the method (for sufficiently small step sizes) are shown to be equivalent, and the corresponding second-moment Lyapunov exponent bounds can be taken to be arbitrarily close. The required finite-time convergence conditions hold for the class of stochastic theta methods on globally Lipschitz problems. It is then shown that exponential mean-square stability for non-globally Lipschitz SDEs is not inherited, in general, by numerical methods. However, for a class of SDEs that satisfy a one-sided Lipschitz condition, positive results are obtained for two implicit methods. These results highlight the fact that for long-time simulation on nonlinear SDEs, the choice of numerical method can be crucial.

scholarly journals MORSE SPECTRUM FOR NONAUTONOMOUS DIFFERENTIAL EQUATIONS

2008 ◽  
Vol 08 (03) ◽  
pp. 351-363 ◽  
Author(s):  
FRITZ COLONIUS ◽  
PETER E. KLOEDEN ◽  
MARTIN RASMUSSEN
Keyword(s):  
Differential Equations ◽  
Finite Time ◽  
Accumulation Point ◽  
Morse Decomposition ◽  
Finite Time Lyapunov Exponents ◽  
The Past ◽  
Accumulation Points ◽  
Morse Spectrum ◽  
Nonautonomous Differential Equations ◽  
Linear Cocycle

The concept of a Morse decomposition consisting of nonautonomous sets is reviewed for linear cocycle mappings w.r.t. the past, future and all-time convergences. In each case, the set of accumulation points of the finite-time Lyapunov exponents corresponding to points in a nonautonomous set is shown to be an interval. For a finest Morse decomposition, the Morse spectrum is defined as the union of all of the above accumulation point intervals over the different nonautonomous sets in such a finest Morse decomposition. In addition, Morse spectrum is shown to be independent of which finest Morse decomposition is used, when more than one exists.

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