Open AccessMathematics
I. Gyöngy, S. Sabanis, D. Šiška
2014.7.26Stochastics and Partial Differential Equations-Analysis and Computations
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 by using the recently developed tamed Euler method, which employs a fully explicit time stepping, coupled with a Galerkin scheme for the spatial discretization.
Citation format
GYÖNGY, I.; SABANIS, S.; ŠIŠKA, D. Convergence of tamed euler schemes for a class of stochastic evolution equations [preprint]. arXiv, 2014. arXiv:1407.7107.