Session I.7 - Stochastic Computation
Poster
Weak numerical convergence rates for stochastic differential equations with nonglobally monotone coefficients
Martin Chak
Sorbonne University, France - This email address is being protected from spambots. You need JavaScript enabled to view it.
Order one weak convergence rates are presented for SDEs with nonglobally monotone coefficients approximated by the stopped increment-tamed Euler-Maruyama scheme. Regularity results for associated Kolmogorov equations are also presented but a more direct argument requiring weaker assumptions is given based on the It\^o-Alekseev-Gr\"obner formula.