Yue Wu

Yue Wu

Slides

Abstract

We study a class of semi-implicit Taylor-type numerical methods that are easy to implement and designed to solve multidimensional stochastic differential equations driven by a general rough noise, eg a fractional Brownian motion. In the multiplicative noise case, the equation is understood as a rough differential equation in the sense of T Lyons. We focus on equations for which the drift coefficient may be unbounded and satisfies a one-sided Lipschitz condition only. We prove well-posedness of the methods, provide a full analysis, and deduce their convergence rate. Numerical experiments show that our schemes are particularly useful in the case of stiff rough stochastic differential equations driven by a fractional Brownian motion.