## On Moment-Dissipative Stochastic Dynamical

• Nonlinear dissipativity, asymptotical stability, and contractivity of (ordinary) stochastic differential equations (SDEs) with some dissipative structure and their discretizations are studied in terms of their moments in the spirit of Pliss (1977). For this purpose, we introduce the notions and discuss related concepts of dissipativity, growth- bounded and monotone coefficient systems, asymptotical stability and contractivity in wide and narrow sense, nonlinear A-stability, AN-stability, B-stability and BN-stability for stochastic dynamical systems - more or less as stochastic counterparts to deterministic concepts. The test class of in a broad sense interpreted dissipative SDEs as natural analogon to dissipative deterministic differential systems is suggested for stochastic-numerical methods. Then, in particular, a kind of mean square calculus is developed, although most of ideas and analysis can be carried over to general "stochastic Lp-case" (p * 1). By this natural restriction, the new stochastic concepts are theoretically meaningful, as in deterministic analysis. Since the choice of step sizes then plays no essential role in related proofs, we even obtain nonlinear A-stability, AN-stability, B-stability and BN-stability in the mean square sense for this implicit method with respect to appropriate test classes of moment-dissipative SDEs.

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Author: Henri Schurz urn:nbn:de:hbz:386-kluedo-7652 Berichte der Arbeitsgruppe Technomathematik (AGTM Report) (214) Preprint English 1999 1999 Technische Universität Kaiserslautern 2000/04/03 Fachbereich Mathematik 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H10 Stochastic ordinary differential equations [See also 34F05] 65-XX NUMERICAL ANALYSIS / 65Cxx Probabilistic methods, simulation and stochastic differential equations (For theoretical aspects, see 68U20 and 60H35) / 65C05 Monte Carlo methods 65-XX NUMERICAL ANALYSIS / 65Cxx Probabilistic methods, simulation and stochastic differential equations (For theoretical aspects, see 68U20 and 60H35) / 65C20 Models, numerical methods [See also 68U20] Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011

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