ALMOST SURE AND MOMENT EXPONENTIAL STABILITY OF PREDICTOR-CORRECTOR METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS

Yuanling NIU, Chengjian ZHANG

系统科学与复杂性(英文) ›› 2012, Vol. 25 ›› Issue (4) : 736-743.

PDF(192 KB)
PDF(192 KB)
系统科学与复杂性(英文) ›› 2012, Vol. 25 ›› Issue (4) : 736-743. DOI: 10.1007/s11424-012-0183-5

ALMOST SURE AND MOMENT EXPONENTIAL STABILITY OF PREDICTOR-CORRECTOR METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS

    Yuanling NIU1, Chengjian ZHANG2
作者信息 +

ALMOST SURE AND MOMENT EXPONENTIAL STABILITY OF PREDICTOR-CORRECTOR METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS

    Yuanling NIU1, Chengjian ZHANG2
Author information +
文章历史 +

Abstract

This paper deals with almost sure and moment exponential stability of a class of predictorcorrector methods applied to the stochastic differential equations of Itˆo-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.

引用本文

导出引用
Yuanling NIU, Chengjian ZHANG. ALMOST SURE AND MOMENT EXPONENTIAL STABILITY OF PREDICTOR-CORRECTOR METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS. 系统科学与复杂性(英文), 2012, 25(4): 736-743 https://doi.org/10.1007/s11424-012-0183-5
Yuanling NIU, Chengjian ZHANG. ALMOST SURE AND MOMENT EXPONENTIAL STABILITY OF PREDICTOR-CORRECTOR METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS. Journal of Systems Science and Complexity, 2012, 25(4): 736-743 https://doi.org/10.1007/s11424-012-0183-5
PDF(192 KB)

204

Accesses

0

Citation

Detail

段落导航
相关文章

/