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

DOI10.1007/s10543-016-0624-yzbMath1365.65010arXiv1509.00609OpenAlexW2205741027MaRDI QIDQ512843

Raphael Kruse, Adam Andersson

Publication date: 2 March 2017

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.00609

zbMATH Keywords

stabilityconvergenceconsistencyfinite difference methodstiff equationnumerical resultbackward Euler-Maruyama methodstochastic ordinary differential equationstrong convergence ratesBDF2-Maruyama methodglobal monotoncity condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference and finite volume methods for ordinary differential equations (65L12) Numerical methods for stiff equations (65L04)

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