Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities

Arnulf Jentzen; Primož Pušnik

doi:10.1093/imanum/drz009

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arXiv · 1504.03523

Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities

Arnulf Jentzen·Primož Pušnik

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Abstract

In this article we propose a new, explicit and easily implementable numerical method for approximating a class of semilinear stochastic evolution equations with non-globally Lipschitz continuous nonlinearities. We establish strong convergence rates for this approximation method in the case of semilinear stochastic evolution equations with globally monotone coefficients. Our strong convergence result, in particular, applies to a class of stochastic reaction-diffusion partial differential equations.

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Arnulf Jentzen, Primož Pušnik. 2015-04-14. Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities. https://doi.org/10.1093/imanum%2Fdrz009

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