Strong convergence in the infinite horizon of numerical methods for stochastic differential equations

Abstract

The strong convergence of numerical methods for stochastic differential equations (SDEs) for $t\in[0,\infty)$ is proved. The result is applicable to any one-step numerical methods with Markov property that have the finite time strong convergence and the uniformly bounded moment. In addition, the convergence of the numerical stationary distribution to the underlying one can be derived from this result. To demonstrate the application of this result, the strong convergence in the infinite horizon of the backward Euler-Maruyama method in the $L^p$ sense for some small $p\in (0,1)$ is proved for SDEs with super-linear coefficients, which is also a a standalone new result. Numerical simulations are provided to illustrate the theoretical results.