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arXiv · 2405.00806

Strong convergence of the exponential Euler scheme for SDEs with superlinear growth coefficients and one-sided Lipschitz drift

Mireille Bossy·Kerlyns Martínez
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Abstract

We consider the problem of the discrete-time approximation of the solution of a one-dimensional SDE with piecewise locally Lipschitz drift and continuous diffusion coefficients with polynomial growth. In this paper, we study the strong convergence of a (semi-explicit) exponential-Euler scheme previously introduced in Bossy et al. (2021). We show the usual 1/2 rate of convergence for the exponential-Euler scheme when the drift is continuous. When the drift is discontinuous, the convergence rate is penalised by a factor {$ε$} decreasing with the time-step. We examine the case of the diffusion coefficient vanishing at zero, which adds a positivity preservation condition and a convergence analysis that exploits the negative moments and exponential moments of the scheme with the help of change of time technique introduced in Berkaoui et al. (2008). Asymptotic behaviour and theoretical stability of the exponential scheme, as well as numerical experiments, are also presented.

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Mireille Bossy, Kerlyns Martínez. 2024-05-01. Strong convergence of the exponential Euler scheme for SDEs with superlinear growth coefficients and one-sided Lipschitz drift. https://arxiv.org/abs/2405.00806

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