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In this article we propose a new, explicit and easily implementable numerical method for approximating a class of semilinear stochastic evolution equations with non-globally Lipschitz continuous nonlinearities. We establish strong… Click to show full abstract
In this article we propose a new, explicit and easily implementable numerical method for approximating a class of semilinear stochastic evolution equations with non-globally Lipschitz continuous nonlinearities. We establish strong convergence rates for this approximation method in the case of semilinear stochastic evolution equations with globally monotone coefficients. Our strong convergence result, in particular, applies to a class of stochastic reaction–diffusion partial differential equations.
Journal Title: IMA Journal of Numerical Analysis
Year Published: 2019
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