Convergence of tamed Euler schemes for a class of stochastic evolution equations

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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.
Original languageEnglish
Pages (from-to)225-245
JournalStochastics and Partial Differential Equations: Analysis and Computations
Volume4
Issue number2
Early online date16 Nov 2015
DOIs
Publication statusPublished - 1 Jun 2016

Keywords

  • math.PR
  • math.NA
  • 60H15, 65M12

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