The present invention relates to a method of running up a discharge lamp (1), in particular a UHP or HID lamp, in which a driving power (8) is increased or decreased to a target value during a single or during a plurality, for example two, of consecutive time periods. The method can comprise the steps of controlling the driving current (5) of the lamp (1) to keep constant during the first of said two or more consecutive time periods, if applicable, and controlling the driving power (8) of the lamp (1) to reach the power target value during the single or during the last time period. The driving current (5) of the lamp (1) is not allowed during the single or following time periods to increase faster than a preset rate and to exceed a fixed upper current limit, which can be selected to avoid an overheating of the electrodes of the lamp (1). With the proposed method and the driving device adapted to carry out the method, the risk of overheating the electrode tips of the discharge lamp during run-up is significantly reduced.