Convergence of tamed Euler schemes for a class of stochastic evolution equations

István Gyöngy, Sotirios Sabanis, David Šiška

Published 2014-07-26, updated 2015-08-13Version 2

We prove stability and convergence of a full discretization for a class of stochastic evolution equations with super-linearly growing operators appearing in the drift term. This is done using the recently developed tamed Euler method, which uses a fully explicit time stepping, coupled with a Galerkin scheme for the spatial discretization.