Error estimates of the backward Euler–Maruyama method for multi-valued stochastic differential equations
Journal article, 2022
Multi-valued stochastic differential equation
Stochastic gradient flow
Discontinuous drift
Backward Euler–Maruyama method
Stochastic inclusion equation
Strong convergence
Hölder continuous drift
Author
Monika Eisenmann
Lund University
Mihaly Kovacs
Pázmány Péter Catholic University
Raphael Kruse
Martin-Luther-Universität Halle-Wittenberg
Stig Larsson
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
BIT (Copenhagen)
0006-3835 (ISSN) 15729125 (eISSN)
Vol. 62 3 803-848Subject Categories
Computational Mathematics
Probability Theory and Statistics
Mathematical Analysis
DOI
10.1007/s10543-021-00893-w