Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Mean-square convergence of the BDF2-Maruyama and backward Euler schemes
  for SDE satisfying a global monotonicity condition   In this paper the numerical approximation of stochastic differential
equations satisfying a global monotonicity condition is studied. The strong
rate of convergence with respect to the mean square norm is determined to be
$\frac{1}{2}$ for the two-step BDF-Maruyama scheme and for the backward
Euler-Maruyama method. In particular, this is the first paper which proves a
strong convergence rate for a multi-step method applied to equations with
possibly superlinearly growing drift and diffusion coefficient functions. We
also present numerical experiments for the $\tfrac32$-volatility model from
finance, which verify our results in practice and indicate that the
BDF2-Maruyama method offers advantages over Euler-type methods if the
stochastic differential equation is stiff or driven by a noise with small
intensity.

35
The categories of this paper are: mtrl-th
1
The categories of this paper are: cs
23
The categories of this paper are: solv-int
14
The categories of this paper are: math-ph
34
The categories of this paper are: chem-ph
4
The categories of this paper are: cond-mat
11
The categories of this paper are: hep-lat
6
The categories of this paper are: astro-ph
22
The categories of this paper are: chao-dyn
13
The categories of this paper are: quant-ph
18
The categories of this paper are: econ
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The categories of this paper are: supr-con
17
The categories of this paper are: q-fin
0
The categories of this paper are: hep-ph
15
The categories of this paper are: nucl-ex
8
The categories of this paper are: hep-ex