$L^p$-Convergence Rate of Backward Euler Schemes for Monotone SDEs
From MaRDI portal
Publication:6358961
DOI10.1007/S10543-022-00923-1zbMath1507.65032arXiv2101.10022MaRDI QIDQ6358961
Publication date: 25 January 2021
Abstract: We give a unified method to derive the strong convergence rate of the backward Euler scheme for monotone SDEs in $L^p(Omega)$-norm, with general $p ge 4$. The results are applied to the backward Euler scheme of SODEs with polynomial growth coefficients. We also generalize the argument to the Galerkin-based backward Euler scheme of SPDEs with polynomial growth coefficients driven by multiplicative trace-class noise.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
This page was built for publication: $L^p$-Convergence Rate of Backward Euler Schemes for Monotone SDEs
