L^p-convergence rate of backward Euler schemes for monotone SDEs
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Publication:2100550
\(L^p(\Omega)\)-convergence ratebackward Euler schememonotone SODEsmonotone SPDEsstochastic Allen-Cahn equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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Cites work
- Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
- Adaptive time-stepping strategies for nonlinear stochastic systems
- An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
- An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation
- An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
- Error Estimates of Semidiscrete and Fully Discrete Finite Element Methods for the Cahn--Hilliard--Cook equation
- Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
- Finite element methods for the stochastic Allen-Cahn equation with gradient-type multiplicative noise
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 979834 (Why is no real title available?)
- Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition
- Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
- Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
- On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
- On the backward Euler approximation of the stochastic Allen-Cahn equation
- On the discretisation in time of the stochastic Allen-Cahn equation
- Optimal error estimates of Galerkin finite element methods for stochastic Allen-Cahn equation with additive noise
- Semigroup splitting and cubature approximations for the stochastic Navier-Stokes equations
- Stochastic partial differential equations: an introduction
- Strong and weak approximation of semilinear stochastic evolution equations
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise
- Strong approximation of monotone stochastic partial differential equations driven by white noise
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Strong convergence rate of finite difference approximations for stochastic cubic Schrödinger equations
- Strong convergence rate of splitting schemes for stochastic nonlinear Schrödinger equations
- Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities
- Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations
- Strong convergence rates for nonlinearity-truncated Euler-type approximations of stochastic Ginzburg-Landau equations
- Strong convergence rates of semidiscrete splitting approximations for the stochastic Allen-Cahn equation
- Well-posedness of stochastic partial differential equations with Lyapunov condition
Cited in
(13)- On the convergence of monotone schemes for path-dependent PDEs
- Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition
- A strongly monotonic polygonal Euler scheme
- L^p-Convergence Rate of Backward Euler Schemes for Monotone SDEs
- Numerical ergodicity of stochastic Allen-Cahn equation driven by multiplicative white noise
- Harnack inequalities and ergodicity of stochastic reaction-diffusion equation in L p
- Numerical unique ergodicity of monotone SDEs driven by nondegenerate multiplicative noise
- Convergence rate and exponential stability of backward Euler method for neutral stochastic delay differential equations under generalized monotonicity conditions
- Central limit theorem for temporal average of backward Euler-Maruyama method
- Numerical contractivity of split-step backward Milstein-type schemes for commutative SDEs with non-globally Lipschitz continuous coefficients
- Relative entropy estimate and geometric ergodicity for implicit Langevin Monte Carlo
- Geometric ergodicity and strong error estimates for tamed schemes of super-linear SODEs
- Analysis of splitting schemes for stochastic evolution equations with non-Lipschitz nonlinearities driven by fractional noise
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