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

Author

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  • Yue Wu

    (University of Strathclyde
    University of Oxford
    Alan Turing Institute)

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.

Suggested Citation

  • Yue Wu, 2023. "Backward Euler–Maruyama Method for the Random Periodic Solution of a Stochastic Differential Equation with a Monotone Drift," Journal of Theoretical Probability, Springer, vol. 36(1), pages 605-622, March.
    • Handle: RePEc:spr:jotpro:v:36:y:2023:i:1:d:10.1007_s10959-022-01178-w
    DOI: 10.1007/s10959-022-01178-w
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