A Lyapunov-tamed Euler method for singular SDEs

Abstract

Many applications, such as systems of interacting particles in physics, require the simulation of diffusion processes with singular coefficients. Standard Euler schemes are then not convergent, and theoretical guarantees in this situation are scarce. In this work we introduce a Lyapunov-tamed Euler scheme, for drift coefficients for which the weak derivative is dominated by a function that obeys a certain generic Lyapunov-type condition. This allows for a range of coefficients that explode to infinity on a bounded set. We establish that, in terms of Lp-strong error, the Lyapunov-tamed scheme is consistent and moreover achieves the same order of convergence as the standard Euler scheme for Lipschitz coefficients. The general result is applied to systems of mean-field particles with singular repulsive interaction in 1D, yielding an error bound with polynomial dependency in the number of particles.