Strong convergence rate of Euler-Maruyama approximations in temporal-spatial Hölder-norms

DOI10.1016/J.CAM.2022.114391MaRDI QIDQ2146346zbMATH OpenOpenAlexWikidataFDO

Authors Martin Hutzenthaler, Tuan A. Nguyen

Publication date 16 June 2022

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2111.04630

zbMATH Keywords

curse of dimensionalityLyapunov functionEuler-Maruyama approximationmultilevel Monte Carlo methodmultilevel Picard approximationshigh-dimensional BSDEs

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: Classical approximation results for stochastic differential equations analyze the $L^p$-distance between the exact solution and its Euler-Maruyama approximations. In this article we measure the error with temporal-spatial H"older-norms. Our motivation for this are multigrid approximations of the exact solution viewed as a function of the starting point. We establish the classical strong convergence rate $0.5$ with respect to temporal-spatial H"older-norms if the coefficient functions have bounded derivatives of first and second order.

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Cited in

(2)

• Convergence in Hölder norms with applications to Monte Carlo methods in infinite dimensions
• Sharp convex generalizations of stochastic Gronwall inequalities

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