Order-one explicit approximations of random periodic solutions of semi-linear SDEs with multiplicative noise

2025/01/01 by Guo, Yujia, Wang, Xiaojie, Wu, Yue
#37H99 #60H10 #60H35 #65C30 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)

paper · doi:10.48550/arxiv.2501.01474

Abstract

This paper is devoted to order-one explicit approximations of random periodic solutions to multiplicative noise driven stochastic differential equations (SDEs) with non-globally Lipschitz coefficients. The existence of the random periodic solution is demonstrated as the limit of the pull-back of the discretized SDE. A novel approach is introduced to analyze mean-square error bounds of the proposed scheme that does not depend on a prior high-order moment bounds of the numerical approximations. Under mild assumptions, the proposed scheme is proved to achieve an expected order-one mean square convergence in the infinite time horizon. Numerical examples are finally provided to verify the theoretical results.

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