Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations

20 Nov 2016  ·  Hutzenthaler Martin, Jentzen Arnulf, Wang Xiaojie ·

Exponential integrability properties of numerical approximations are a key tool for establishing positive rates of strong and numerically weak convergence for a large class of nonlinear stochastic differential equations. It turns out that well-known numerical approximation processes such as Euler-Maruyama approximations, linear-implicit Euler approximations, and some tamed Euler approximations from the literature rarely preserve exponential integrability properties of the exact solution... The main contribution of this article is to identify a class of stopped increment-tamed Euler approximations which preserve exponential integrability properties of the exact solution under minor additional assumptions on the involved functions. read more

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Numerical Analysis Probability