Strong convergence of Euler-type methods for nonlinear stochastic differential equations

Higham, D.J. and Mao, X. and Stuart, A.M. (2002) Strong convergence of Euler-type methods for nonlinear stochastic differential equations. SIAM Journal on Numerical Analysis, 40 (3). pp. 1041-1063. ISSN 0036-1429 (https://doi.org/10.1137/S0036142901389530)

Full text not available in this repository.Request a copy

Abstract

Traditional finite-time convergence theory for numerical methods applied to stochastic differential equations (SDEs) requires a global Lipschitz assumption on the drift and diffusion coefficients. In practice, many important SDE models satisfy only a local Lipschitz property and, since Brownian paths can make arbitrarily large excursions, the global Lipschitz-based theory is not directly relevant. In this work we prove strong convergence results under less restrictive conditions. First, we give a convergence result for Euler--Maruyama requiring only that the SDE is locally Lipschitz and that the pth moments of the exact and numerical solution are bounded for some p >2. As an application of this general theory we show that an implicit variant of Euler--Maruyama converges if the diffusion coefficient is globally Lipschitz, but the drift coefficient satisfies only a one-sided Lipschitz condition; this is achieved by showing that the implicit method has bounded moments and may be viewed as an Euler--Maruyama approximation to a perturbed SDE of the same form. Second, we show that the optimal rate of convergence can be recovered if the drift coefficient is also assumed to behave like a polynomial.

ORCID iDs

Higham, D.J. ORCID logoORCID: https://orcid.org/0000-0002-6635-3461, Mao, X. ORCID logoORCID: https://orcid.org/0000-0002-6768-9864 and Stuart, A.M.;
CORE (COnnecting REpositories)