General diffusion processes as limit of time-space Markov chains

DOI10.1214/22-AAP1902MaRDI QIDQ6187474zbMATH OpenOpenAlexFDO

Authors Alexis Anagnostakis, Antoine Lejay, Denis Villemonais

Publication date 15 January 2024

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2206.03713, https://projecteuclid.org/journals/annals-of-applied-probability/volume-33/issue-5/General-diffusion-processes-as-limit-of-time-space-Markov-chains/10.1214/22-AAP1902.full

zbMATH Keywords

Donsker's invariance principleMarkov chain approximationrandom walksingular diffusionskewslow reflectionstickyWasserstein distance

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60)

Abstract: We prove the convergence of the law of grid-valued random walks, which can be seen as time-space Markov chains, to the law of a general diffusion process. This includes processes with sticky features, reflecting or absorbing boundaries and skew behavior. We prove that the convergence occurs at any rate strictly inferior to $(1/4)wedge(1/p)$ in terms of the maximum cell size of the grid, for any $p$-Wasserstein distance. We also show that it is possible to achieve any rate strictly inferior to $(1/2)wedge(2/p)$ if the grid is adapted to the speed measure of the diffusion, which is optimal for $ple4$. This result allows us to set up asymptotically optimal approximation schemes for general diffusion processes. Last, we experiment numerically on diffusions that exhibit various features.

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Cited in

(1)

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