Weak Convergence Of Tamed Exponential Integrators for Stochastic Differential Equations

arXiv2304.09496MaRDI QIDQ6433593FDOQ6433593

Publication date: 19 April 2023

Abstract: We prove weak convergence of order one for a class of exponential based integrators for SDEs with non-globally Lipschtiz drift. Our analysis covers tamed versions of Geometric Brownian Motion (GBM) based methods as well as the standard exponential schemes. The numerical performance of both the GBM and exponential tamed methods through four different multi-level Monte Carlo techniques are compared. We observe that for linear noise the standard exponential tamed method requires severe restrictions on the stepsize unlike the GBM tamed method.

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

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