Backward Euler–Maruyama Method for the Random Periodic Solution of a Stochastic Differential Equation with a Monotone Drift

Yue Wu ()
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Yue Wu: University of Strathclyde

Journal of Theoretical Probability, 2023, vol. 36, issue 1, 605-622

Abstract: Abstract In this paper, we study the existence and uniqueness of the random periodic solution for a stochastic differential equation with a one-sided Lipschitz condition (also known as monotonicity condition) and the convergence of its numerical approximation via the backward Euler–Maruyama method. The existence of the random periodic solution is shown as the limit of the pull-back flows of the SDE and the discretized SDE, respectively. We establish a convergence rate of the strong error for the backward Euler–Maruyama method with order of convergence 1/2.

Keywords: Random periodic solution; Stochastic differential equations; Monotone drift; Backward Euler–Maruyama method; 37H99; 65C30; 60H10; 60H35; 65L04 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10959-022-01178-w

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