Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations |
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| Authors: | Yuanling Niu Chengjian Zhang |
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| Institution: | 1. School of Mathematics and Statistics, Central South University, Changsha, 410075, China
2. School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan, 430074, China
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| Abstract: | 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. |
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