Order-One Convergence of the Backward Euler Method for Random Periodic Solutions of Semilinear SDEs

Abstract

In this paper, we revisit the backward Euler method for numerical approximations of random periodic solutions of semilinear SDEs with additive noise. Improved $L^{p}$-estimates of the random periodic solutions of the considered SDEs are obtained under a more relaxed condition compared to literature. The backward Euler scheme is proved to converge with an order one in the mean square sense, which also improves the existing order-half convergence. Numerical examples are presented to verify our theoretical analysis.