Dahlquist Equivalence Theorem
A linear multistep method (with ) is convergent (i.e., as for all sufficiently smooth IVPs) if and only if it satisfies both:
- Consistency: and , where and .
- Zero-stability: All roots of satisfy , and roots with are simple.
Moreover, if the method has order (consistency to order ) and is zero-stable, then the global error is .
Proof
Necessity of consistency. If the method is convergent, it must reproduce constant solutions exactly. For , : , so . For , : , giving after algebra.
Necessity of zero-stability. Consider , . The multistep recurrence becomes (homogeneous). The general solution is a linear combination of (for simple roots) and (for roots of multiplicity ). If a root , the solution grows exponentially even with zero initial data perturbed by rounding. If with multiplicity , grows polynomially. Either case prevents convergence.
Sufficiency (outline). Let be the global error. Subtracting the numerical scheme from the exact equation yields: where is the local truncation error.
By the Lipschitz condition : where .
This is a perturbed linear recurrence. Zero-stability ensures the homogeneous recurrence has bounded solutions. The perturbation theory for difference equations (discrete Gronwall inequality) then gives: where depends on , , and the method coefficients.
If the starting values satisfy for (e.g., computed by a one-step method of order ), then .
AB2: . Here , . Check: (consistent), . Roots of : (both , simple). So AB2 is zero-stable and convergent. Order: , confirming second order.
Zero-stability (root condition) only concerns . For finite , the characteristic roots of the perturbed recurrence must also be bounded, leading to the concept of absolute stability. The interplay between zero-stability (ensuring convergence) and absolute stability (ensuring practical usability for stiff problems) is the central tension in multistep method design.