Properties of the EMCEL scheme for approximating irregular diffusions
The paper under review is concerned with a so-called EMCEL scheme (the full name is the scheme of `embeddable Markov chain with expected time lag \(h\)') for approximating a general diffusion on an interval. Roughly speaking, unlike the Euler scheme, this scheme obtains an approximating sequence by cutting time into (stochastic) pieces with the same expectation. More precisely, let \(Y\) be a one-dimensional continuous strong Markov process on an open, half-open or closed interval \(I\subset \mathbb{R}\). Assume that \(Y\) is regular in the sense that for every \(y\in I^\circ\), the interior of \(I\), and \(x\in I\), \(P_y\left[ H_x(Y)<\infty\right]>0\), where \(H_x(Y):=\inf\{t\geq 0: Y_t=x\}\), and that \(Y\) is in the natural scale. Set \(H_{a,b}(Y):=H_a(Y)\wedge H_b(Y)\) for \(a,b\in \bar{I}\), the closure of \(I\). Take an i.i.d sequence \((\xi_k)_{k\in \mathbb{N}}\) of random variables satisfying \(P(\xi_k=\pm 1)=1/2\). Given a discretization parameter \(h\in (0,\bar{h}]\), where \(\bar{h}>0\) is fixed, the crucial element to defining the approximating sequence of Markov chains is the so-called scale factor \(\hat{a}_h: I\rightarrow [0,\infty)\), which is chosen in such a way that the expected time it takes \(Y\) started in \(y\in I\) to leave the interval \((y-\hat{a}_h(y),y+\hat{a}_h(y))\) is equal to \(h\), i.e., \(\hat{a}_h\) satisfies for all \(y\in I\) that \(E_y\left[H_{y-\hat{a}_h(y), y+\hat{a}_h(y)}(Y) \right]=h\). Then for an initial value \(y_0\in I\), the Markov chain is recursively defined on the time grid \(\{kh: h\in \mathbb{N}_0\}\) as \[ \hat{X}^h_0=y_0,\quad \hat{X}^h_{(k+1)h}=\hat{X}^h_{kh}+\hat{a}_h(\hat{X}^h_{kh})\xi_{k+1}. \] This Markov chain can be extended to a continuous-time process, denoted by \(\hat{X}^h_t\), by linear interpolation. Then it can be shown that \(\hat{X}^h_t\) converges weakly to \(Y\) as \(h\downarrow 0\). The paper under review investigates the properties of the scale factor \(\hat{a}_h\). At first, it discusses the asymptotic properties of \(\hat{a}_h\) as \(h\downarrow 0\). It decreases to \(0\) in a certain meaning and the convergence ratio is also explored. Secondly, it is examined how \(\hat{a}_h(y)\) depends on \(y\). It turns out that for \(h\in (0,\bar{h}]\) and \(z\in \{-1,1\}\), the mapping \(y\mapsto y+\hat{a}_h(y)z\) is nondecreasing. This leads to certain results translating into some good stability features of the scheme. Finally, an ODE satisfied by \(\hat{a}_h\) is obtained.
- Approximating exit times of continuous Markov processes
- The Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem
- Approximation for non-smooth functionals of stochastic differential equations with irregular drift
- Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
- On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
- A Donsker theorem to simulate one-dimensional processes with measurable coefficients
- A functional limit theorem for coin tossing Markov chains
- A functional limit theorem for irregular SDEs
- A note on Euler's approximations
- A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
- A stochastic differential equation with a sticky point
- An exponential timestepping algorithm for diffusion with discontinuous coefficients
- Application of stochastic flows to the sticky Brownian motion equation
- Approximating exit times of continuous Markov processes
- Asymptotic analysis for periodic structures
- Conditional law and occupation times of two-sided sticky Brownian motion
- Construction and analysis of a sticky reflected distorted Brownian motion
- Higher-order implicit strong numerical schemes for stochastic differential equations
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
- scientific article; zbMATH DE number 3847773 (Why is no real title available?)
- scientific article; zbMATH DE number 3878098 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 3204015 (Why is no real title available?)
- Numerical approximation of irregular SDEs via Skorokhod embeddings
- Numerical probability. An introduction with applications to finance
- On solutions of one-dimensional stochastic differential equations without drift
- On the one-sided tanaka equation with drift
- One Dimensional Stochastic Differential Equations with No Strong Solution
- Ordinary differential equations and dynamical systems
- Sticky couplings of multidimensional diffusions with different drifts
- Stochastic differential equations for Dirichlet processes
- Stochastic differential equations for sticky Brownian motion
- Stochastic differential equations with sticky reflection and boundary diffusion
- Stopping with expectation constraints: 3 points suffice
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
- Strong Feller property of sticky reflected distorted Brownian motion
- The Euler scheme with irregular coefficients
- Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times
- Wasserstein convergence rates for random bit approximations of continuous Markov processes
- Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
This page was built for publication: Properties of the EMCEL scheme for approximating irregular diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2069772)
