Non-asymptotic Error Analysis of Explicit Modified Euler Methods for Superlinear and Non-contractive SODEs

Abstract: A family of explicit modified Euler methods (MEMs) is constructed for long-time approximations of super-linear SODEs driven by multiplicative noise. The proposed schemes can preserve the same Lyapunov structure as the continuous problems. Under a non-contractive condition, we establish a non-asymptotic error bound between the law of the numerical approximation and the target distribution in Wasserstein-1 ($\mathcal{W}_1$) distance through a time-independent weak convergence rate for the proposed schemes. As a by-product of this weak error estimate, we obtain an $\mathcal{O}(\tau|\ln \tau|)$ convergence rate between the exact and numerical invariant measures.