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math.NA2026
Non-asymptotic uniform in time error bounds for new and old numerical schemes for SPDEs
Can Huang, Michela Ottobre, Gideon Simpson
We study numerical schemes for Stochastic Partial Differential Equations (SPDEs). We introduce a general method of proof of non-asymptotic uniform in time error bounds on numerical…
math.NA2023★ 2 cited
Uniform in time convergence of numerical schemes for stochastic differential equations via Strong Exponential stability: Euler methods, Split-Step and Tamed Schemes
Letizia Angeli, Dan Crisan, Michela Ottobre
We prove a general criterion providing sufficient conditions under which a time-discretiziation of a given Stochastic Differential Equation (SDE) is a uniform in time approximation…