Stopped Brownian-increment tamed Euler method

Martin Hutzenthaler; Kai Kisker

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arXiv · 2204.12254

Stopped Brownian-increment tamed Euler method

Martin Hutzenthaler·Kai Kisker

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Abstract

In this article we propose a new explicit Euler-type approximation method for stochastic differential equations (SDEs). In this method, Brownian increments in the recursion of the Euler method are replaced by suitable bounded functions of the Brownian increments. We prove strong convergence rate one-half for a large class of SDEs with polynomial coefficient functions whose local monotonicity constant grows at most like the logarithm of a Lyapunov-type function.

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Martin Hutzenthaler, Kai Kisker. 2022-04-26. Stopped Brownian-increment tamed Euler method. https://arxiv.org/abs/2204.12254

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