Uniform in time convergence of numerical schemes for stochastic differential equations via Strong Exponential stability: Euler methods, Split-Step and Tamed Schemes

arXiv2303.15463MaRDI QIDQ6431031FDOQ6431031

M. Ottobre, Dan Crisan, Letizia Angeli

Publication date: 23 March 2023

Abstract: We prove a general criterion providing sufficient conditions under which a time-discretiziation of a given Stochastic Differential Equation (SDE) is a uniform in time approximation of the SDE. The criterion is also, to a certain extent, discussed in the paper, necessary. Using such a criterion we then analyse the convergence properties of numerical methods for solutions of SDEs; we consider Explicit and Implicit Euler, split-step and (truncated) tamed Euler methods. In particular, we show that, under mild conditions on the coefficients of the SDE (locally Lipschitz and strictly monotonic), these methods produce approximations of the law of the solution of the SDE that converge uniformly in time. The theoretical results are verified by numerical examples.

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Error analysis and interval analysis (65G99)

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