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

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 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.