Convergence of tamed Euler schemes for a class of stochastic evolution equations
Probability
2015-08-14 v2 Numerical Analysis
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.
Keywords
Cite
@article{arxiv.1407.7107,
title = {Convergence of tamed Euler schemes for a class of stochastic evolution equations},
author = {István Gyöngy and Sotirios Sabanis and David Šiška},
journal= {arXiv preprint arXiv:1407.7107},
year = {2015}
}