Session I.7 - Stochastic Computation
Tuesday, June 13, 17:30 ~ 18:00
On the strong approximation of SDEs with superlinear growing coefficients: convergence and stability of the exponential Euler scheme.
Mireille Bossy
INRIA, France - This email address is being protected from spambots. You need JavaScript enabled to view it.
We consider the problem of approximating the solution of an SDE with a non-globally Lipschitz drift, possibly discontinuous, and a diffusion coefficient with polynomial growth. By studying the strong error, we show the usual convergence rate of 1/2 for the exponential Euler scheme.
The condition for obtaining a convergence rate is mainly determined by the possible control of the moments, and the exponential moment of the exact process and the scheme. The proof relies on a time change technique.
Joint work with Kerlyns Martínez (University of Valparaíso).