Backward Euler method for stochastic differential equations with non-Lipschitz coefficients driven by fractional\ Brownian motion

DOI10.1007/S10543-023-00981-ZMaRDI QIDQ6173549zbMATH OpenFDO

Authors Hao Zhou, Yaozhong Hu, Yanghui Liu

Publication date 21 July 2023

Published in BIT (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2205.13659

zbMATH Keywords

stochastic differential equationMalliavin derivativestrong convergencebackward Euler methodasymptotic error distribution

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: We study the traditional backward Euler method for $m$-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H>1/2$ whose drift coefficient satisfies the one-sided Lipschitz condition. The backward Euler scheme is proved to be of order $1$ and this rate is optimal by showing the asymptotic error distribution result. Two numerical experiments are performed to validate our claims about the optimality of the rate of convergence.

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Cited in

(3)

• Divergence of the backward Euler method for ordinary stochastic differential equations
• Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient
• Strong and weak divergence of the backward Euler method for neutral stochastic differential equations with time-dependent delay

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