Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities

DOI10.1093/imanum/drz009zbMath1466.65161arXiv1504.03523OpenAlexW2964101709WikidataQ128061695 ScholiaQ128061695MaRDI QIDQ5109466

Arnulf Jentzen, Primož Pušnik

Publication date: 12 May 2020

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.03523

zbMATH Keywords

bootstrap argumentstochastic PDEstrong convergence ratestamed exponential Euler-type scheme

Mathematics Subject Classification ID

Reaction-diffusion equations (35K57) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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