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arxiv: 1407.7107 · v2 · pith:IENKNC7Ynew · submitted 2014-07-26 · 🧮 math.PR · math.NA

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

classification 🧮 math.PR math.NA
keywords classconvergencediscretizationequationseulerevolutionstochastictamed
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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.

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