A strongly monotonic polygonal Euler scheme
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Publication:6149159
DOI10.1016/J.JCO.2023.101801arXiv2112.15596MaRDI QIDQ6149159FDOQ6149159
Authors: Tim Johnston, Sotirios Sabanis 
Publication date: 5 February 2024
Published in: Journal of Complexity (Search for Journal in Brave)
Abstract: In recent years tamed schemes have become an important technique for simulating SDEs and SPDEs whose continuous coefficients display superlinear growth. The taming method, which involves curbing the growth of the coefficients as a function of stepsize, has so far however not been adapted to preserve the monotonicity of the coefficients. This has arisen as an issue particularly in cite{articletam}, where the lack of a strongly monotonic tamed scheme forces strong conditions on the setting. In the present work we give a novel and explicit method for truncating monotonic functions in separable Hilbert spaces, and show how this can be used to define a polygonal (tamed) Euler scheme on finite dimensional space, preserving the monotonicity of the drift coefficient. This new method of truncation is well-defined with almost no assumptions and, unlike the well-known Moreau-Yosida regularisation, does not require an optimisation problem to be solved at each evaluation. Our construction is the first infinite dimensional method for truncating monotone functions that we are aware of, as well as the first explicit method in any number of dimensions.
Full work available at URL: https://arxiv.org/abs/2112.15596
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