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

Abstract

We give a unified method to derive the strong convergence rate of the backward Euler scheme for monotone SDEs in $L^p(\Omega)$-norm, with general $p \ge 4$. 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.