Strong convergence rates for long-time approximations of SDEs with non-globally Lipschitz continuous coefficients

Autor:	Wu, Xiaoming, Wang, Xiaojie
Rok vydání:	2024
Předmět:	Mathematics - Numerical Analysis Mathematics - Probability 60H35 65C30
Druh dokumentu:	Working Paper
Popis:	This paper is concerned with long-time strong approximations of SDEs with non-globally Lipschitz coefficients.Under certain non-globally Lipschitz conditions, a long-time version of fundamental strong convergence theorem is established for general one-step time discretization schemes. With the aid of the fundamental strong convergence theorem, we prove the expected strong convergence rate over infinite time for two types of schemes such as the backward Euler method and the projected Euler method in non-globally Lipschitz settings. Numerical examples are finally reported to confirm our findings. Comment: 30 pages,4 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2406.10582 Zobrazit plný text záznamu View this record from Arxiv