Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift (Q2428108)

Under less restrictive assumptions on the drift coefficient \(f\) than is customary, the split-step backward Euler method is shown to converge strongly with order \(1/2\) to the solution of the Ito stochastic differential equation \[ dX(t)= f(t,X(t))\,dt+ g(t,X(r))\,dW(t),\quad 0\leq t\leq T,\quad X(0)= X_0. \] Numerical results are presented that verify that this accuracy is achieved for three examples. Also under even less restrictive assumptions on \(f\) , order \(1/4\) strong convergence to the solution is proved.