Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

DOI10.1080/17442508.2011.651213zbMath1304.65009OpenAlexW2070845660MaRDI QIDQ5411899

Lukasz Szpruch, Xuerong Mao

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.651213

zbMATH Keywords

stochastic differential equationstrong convergenceimplicit methodlocal Lipschitzbackward Euler-Maruyama schemedissipative modelmultilevel Monte Carlo techniquessuper-linear diffusion coefficients

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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