Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations

被引：4

作者：

Niu, Yuanling ^{[1
,2
]}

Zhang, Chengjian ^{[1
]}

机构：

[1] Huazhong Univ Sci & Technol, Sch Math & Stat, Wuhan 430074, Peoples R China

[2] Cent S Univ, Sch Math & Stat, Changsha 410075, Hunan, Peoples R China

来源：

JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2012年 / 25卷 / 04期

关键词：

Almost sure stability; moment exponential stability; numerical experiment; stochastic differential equations; NUMERICAL-SIMULATION; ASYMPTOTIC STABILITY; THETA METHOD; SYSTEMS;

D O I：

10.1007/s11424-012-0183-5

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper deals with almost sure and moment exponential stability of a class of predictor-corrector methods applied to the stochastic differential equations of It-type. Stability criteria for this type of methods are derived. The methods are shown to maintain almost sure and moment exponential stability for all sufficiently small timesteps under appropriate conditions. A numerical experiment further testifies these theoretical results.

引用

页码：736 / 743

页数：8

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