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- 1999 (2) (remove)

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.

Nonlinear stochastic dynamical systems as ordinary stochastic differential equations and stochastic difference methods are in the center of this presentation in view of the asymptotical behaviour of their moments. We study the exponential p-th mean growth behaviour of their solutions as integration time tends to infinity. For this purpose, the concepts of nonlinear contractivity and stability exponents for moments are introduced as generalizations of well-known moment Lyapunov exponents of linear systems. Under appropriate monotonicity assumptions we gain uniform estimates of these exponents from above and below. Eventually, these concepts are generalized to describe the exponential growth behaviour along certain Lyapunov-type functionals.