Convergence of tamed Euler schemes for a class of stochastic evolution equations

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 using the recently developed tamed Euler method, which uses a fully explicit time stepping, coupled with a Galerkin scheme for the spatial discretization.

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Cited by in corpus (2)

• On the discretisation in time of the stochastic Allen-Cahn equation
• Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities