This paper deals with almost sure and moment exponential stability of a class of predictor- corrector methods applied to the stochastic differential equations of Ito-type. Stability criteria for this type of methods a...This paper deals with almost sure and moment exponential stability of a class of predictor- corrector methods applied to the stochastic differential equations of Ito-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.展开更多
基金supported by NSFC under Grant Nos.11171125 and 91130003NSFH under Grant No. 2011CDB289the Freedom Explore Program of Central South University
文摘This paper deals with almost sure and moment exponential stability of a class of predictor- corrector methods applied to the stochastic differential equations of Ito-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.