Journal of Guangxi Normal University(Natural Science Edition) ›› 2012, Vol. 30 ›› Issue (2): 35-41.

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Exponential Stability of 1.5 Order Stochastic Taylor Method for Stochastic Differential Equations

ZHANG Hao-qi1, ZHANG Hao-min1,2   

  1. 1.College of Science,Guilin University of Technology,Guilin Guangxi 541004,China;
    2.Guangxi Key Laboratory of Spatial Information and Geomatics,Guilin Guangxi 541004,China
  • Received:2012-03-08 Online:2012-06-20 Published:2018-12-03

Abstract: In this paper,of implicit stochastic Taylor method with the exponential stability of 1.5 order and feather of almost sure and small-moments is investigated.It is proved that the numerical method can unconditionally inherit the almost sure exponential stability andthe p-th moment exponential stability of the underlying system when 0<p<2.An illustrative numerical example is presented to demonstrate the theoretical results.

Key words: linear stochastic differential equation, strong 1.5 order implicit stochastic Taylor method, almost sure exponential stability, momentexponential stability

CLC Number: 

  • O211.63
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