论文标题
具有不连续和多项式漂移的SDE的驯服 - 欧拉山方法的收敛
Convergence of the tamed-Euler-Maruyama method for SDEs with discontinuous and polynomially growing drift
论文作者
论文摘要
在文献中深入研究了具有不规则系数的SDE的数值方法，通常会分别攻击不同类型的不规则性。在本文中，我们结合了两种不同类型的不规则性：多项式增长的漂移系数和不连续的漂移系数。对于遭受这两种违规行为的SDE，我们证明了[Hutzenthaler，M.，Jentzen，A。和Kloeden，P. E.的驯服 - 欧拉山计划的$ 1/2 $ $ 1/2 $的强烈融合，应用于应用概率的年鉴，22（4）：1611-1641，2012]。
Numerical methods for SDEs with irregular coefficients are intensively studied in the literature, with different types of irregularities usually being attacked separately. In this paper we combine two different types of irregularities: polynomially growing drift coefficients and discontinuous drift coefficients. For SDEs that suffer from both irregularities we prove strong convergence of order $1/2$ of the tamed-Euler-Maruyama scheme from [Hutzenthaler, M., Jentzen, A., and Kloeden, P. E., The Annals of Applied Probability, 22(4):1611-1641, 2012].
