Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition (Q512843)

This paper studies the backward Euler-Maruyama (BEM), and the BDF2-Maruyama (BDF2-M) schemes for approximating the solution of \[ X(t)= X_0+ \int^t_0 f(X(s))\,ds+ \int^t_0 g(X(s))\,dW(s),\quad t\in[0, T], \] where \(W(t)\) is a \(d\)-dimensional Wiener stochastic process and \(f\), \(g\) satisfy global monotonicity, coercivity, and local Lipschitz conditions. The existence and uniqueness of the solutions of the \(n\)th-order difference equations that arise is established. Stability, consistency, and strong mean-square convergence of order \({1\over 2}\) of the BEM and BDF2-M schemes are proved. Numerical results for examples are analyzed and a notable advantage in accuracy of the BDF2-M scheme for stiff equations is observed.