A projected Euler Method for Random Periodic Solutions of Semi-linear SDEs with non-globally Lipschitz coefficients

Autor:	Guo, Yujia, Wang, Xiaojie, Wu, Yue
Rok vydání:	2024
Předmět:	Mathematics - Numerical Analysis Mathematics - Probability 37H99 60H10 60H35 65C30
Druh dokumentu:	Working Paper
Popis:	The present work introduces and investigates an explicit time discretization scheme, called the projected Euler method, to numerically approximate random periodic solutions of semi-linear SDEs under non-globally Lipschitz conditions. The existence of the random periodic solution is demonstrated as the limit of the pull-back of the discretized SDE. Without relying on a priori high-order moment bounds of the numerical approximations, the mean square convergence rate is proved to be order 0.5 for SDEs with multiplicative noise and order 1 for SDEs with additive noise. Numerical examples are also provided to validate our theoretical findings. Comment: 25 pages,5 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2406.16089 Zobrazit plný text záznamu View this record from Arxiv