Pathwise convergence of a novel numerical scheme based on semi-implicit method for stochastic differential-algebraic equations with non-global Lipschitz coefficients

Abstract

This paper delves into the well-posedness and the numerical approximation of non-autonomous stochastic differential algebraic equations (SDAEs) with nonlinear local Lipschitz coefficients that satisfy the more general monotonicity condition called Khasminskii condition. The key challenge is the presence of a singular matrix which makes the numerical integration hard and heavy. To address this challenge, we propose a novel numerical scheme based on semi-implicit method for the drift component of the SDAEs. More precisely we split the drift term as the sum of a linear term and a nonlinear term. The linear part is approximated implicitly, while the nonlinear part is approximated explicitly. The linear component's role is to handle the singularity issues during the numerical integration without the resolution of nonlinear algebraic equations in the constraint equations. This novel scheme is therefore very efficient for SDAEs in high dimension that come after the spatial discretisation of stochastic partial differential algebraic equations (SPDAEs). To prove the pathwise convergence of our novel scheme, we first derive a equivalent scheme called dual scheme, suitable for mathematical analysis and linked to the inherent stochastic differential equation resulting from the elimination of constraints in the initial SDAEs. We prove that our novel scheme converges to the exact solution with rate $\frac{1}{2}-\epsilon$, for arbitrary $\epsilon>0$ in the pathwise sense. Numerical simulations are performed to demonstrate the efficiency of the scheme in high dimension and to show that our theoretical results are in agreement with numerical experiments.