Convergence of tamed Euler schemes for a class of stochastic evolution equations

István Gyöngy; Sotirios Sabanis; David Šiška

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arXiv · 1407.7107

Convergence of tamed Euler schemes for a class of stochastic evolution equations

István Gyöngy·Sotirios Sabanis·David Šiška

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Abstract

We prove stability and convergence of a full discretization for a class of stochastic evolution equations with super-linearly growing operators appearing in the drift term. This is done using the recently developed tamed Euler method, which uses a fully explicit time stepping, coupled with a Galerkin scheme for the spatial discretization.

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István Gyöngy, Sotirios Sabanis, David Šiška. 2014-07-26. Convergence of tamed Euler schemes for a class of stochastic evolution equations. https://arxiv.org/abs/1407.7107

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