A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications

DOI10.1137/120902318zbMATH Open1293.60069OpenAlexW3100051090MaRDI QIDQ5397607FDOQ5397607

Authors M. V. Tretyakov, Zhongqiang Zhang 

Publication date 24 February 2014

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1212.1352

zbMATH Keywords

almost sure convergencestrong convergencefully implicit methodsbalanced methodsnumerical integration of SDEs in the mean-square senseSDEs with nonglobally Lipschitz coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: A version of the fundamental mean-square convergence theorem is proved for stochastic differential equations (SDE) which coefficients are allowed to grow polynomially at infinity and which satisfy a one-sided Lipschitz condition. The theorem is illustrated on a number of particular numerical methods, including a special balanced scheme and fully implicit methods. Some numerical tests are presented.

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• Adaptive Euler methods for stochastic systems with non-globally Lipschitz coefficients
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