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

DOI10.1016/J.CAM.2022.114391zbMATH Open1492.65024arXiv2111.04630OpenAlexW4229018807WikidataQ114201804 ScholiaQ114201804MaRDI QIDQ2146346FDOQ2146346

Authors: Martin Hutzenthaler, Tuan A. Nguyen 

Publication date: 16 June 2022

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

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.

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

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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)

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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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