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

Published 26 Jul 2014 in math.PR and math.NA | (1407.7107v2)

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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