Wasserstein convergence rates for random bit approximations of continuous Markov processes

DOI10.1016/j.jmaa.2020.124543zbMath1466.60145arXiv1903.07880OpenAlexW3082828855MaRDI QIDQ2208948

Stefan Ankirchner, Thomas Kruse, Mikhail A. Urusov

Publication date: 28 October 2020

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.07880

zbMATH Keywords

rate of convergencenumerical schemeWasserstein distanceMarkov chain approximationspeed measureone-dimensional Markov process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical analysis or methods applied to Markov chains (65C40) Convergence of probability measures (60B10)

Related Items (6)

A Kolmogorov-Chentsov type theorem on general metric spaces with applications to limit theorems for Banach-valued processes ⋮ General diffusion processes as limit of time-space Markov chains ⋮ Properties of the EMCEL scheme for approximating irregular diffusions ⋮ Mean square rate of convergence for random walk approximation of forward-backward SDEs ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation ⋮ Markov chain approximation of one-dimensional sticky diffusions

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