Exponential moment bounds and strong convergence rates for tamed-truncated numerical approximations of stochastic convolutions

Arnulf Jentzen; Felix Lindner; Primož Pušnik

doi:10.1007/s11075-019-00871-y

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arXiv · 1812.05198

Exponential moment bounds and strong convergence rates for tamed-truncated numerical approximations of stochastic convolutions

Arnulf Jentzen·Felix Lindner·Primož Pušnik

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Abstract

In this article we establish exponential moment bounds, moment bounds in fractional order smoothness spaces, a uniform H\"older continuity in time, and strong convergence rates for a class of fully discrete exponential Euler-type numerical approximations of infinite dimensional stochastic convolution processes. The considered approximations involve specific taming and truncation terms and are therefore well suited to be used in the context of SPDEs with non-globally Lipschitz continuous nonlinearities.

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Arnulf Jentzen, Felix Lindner, Primož Pušnik. 2018-12-12. Exponential moment bounds and strong convergence rates for tamed-truncated numerical approximations of stochastic convolutions. https://doi.org/10.1007/s11075-019-00871-y

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