L^p-Convergence Rate of Backward Euler Schemes for Monotone SDEs

01/25/2021

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by   Zhihui Liu, et al.

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We give a unified method to derive the strong convergence rate of the backward Euler scheme for monotone SDEs in L^p(Ω)-norm, with general p ≥ 4. The results are applied to the backward Euler scheme of SODEs with polynomial growth coefficients. We also generalize the argument to the Galerkin-based backward Euler scheme of SPDEs with polynomial growth coefficients driven by multiplicative trace-class noise.