On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth
We consider the problem of designing robust numerical integration scheme of the solution of a one-dimensional SDE with non-globally Lipschitz drift and diffusion coefficients behaving as x^α, with α>1. We propose an (semi-explicit) exponential-Euler scheme for which we obtain a theoretical convergence rate for the weak error. To this aim, we analyze the C1,4 regularity of the solution of the associated backward Kolmogorov PDE using its Feynman–Kac representation and the flow derivative of the involved processes. Under some suitable hypotheses on the parameters of the model, we prove a rate of weak convergence of order one for the proposed exponential Euler scheme, and illustrate it with some numerical experiments.