Numerical methods for SDEs with irregular coefficients are intensively studied in the literature, with different types of irregularities usually being attacked separately. In this paper we combine two different types of irregularities: polynomially growing drift coefficients and discontinuous drift coefficients. For SDEs that suffer from both irregularities we prove strong convergence of order $1/2$ of the tamed-Euler-Maruyama scheme.
翻译:在文献中,对具有非正常系数的SDE的数值方法进行了深入研究,不同类型违规通常会分别受到攻击。在本文中,我们将两种不同类型的违规行为结合起来:一成不变的漂移系数和不连续的漂移系数。 对于两种违规现象都存在的SDE,我们证明,在驯服-Euler-Maruyama计划下,1/2美元的订单十分一致。