Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme

DOI10.1214/13-AAP941MaRDI QIDQ2454403zbMATH OpenOpenAlexFDO

Authors Aurélien Alfonsi, Benjamin Jourdain, Arturo Kohatsu-Higa

Publication date 13 June 2014

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

Full work available at URL https://arxiv.org/abs/1209.0576, https://projecteuclid.org/euclid.aoap/1398258095

zbMATH Keywords

diffusion bridgesEuler schemeone-dimensional stochastic differential equationWasserstein distanceweak trajectorial error

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In the present paper, we prove that the Wasserstein distance on the space of continuous sample-paths equipped with the supremum norm between the laws of a uniformly elliptic one-dimensional diffusion process and its Euler discretization with $N$ steps is smaller than $O(N^{-2/3+varepsilon})$ where $varepsilon$ is an arbitrary positive constant. This rate is intermediate between the strong error estimation in $O(N^{-1/2})$ obtained when coupling the stochastic differential equation and the Euler scheme with the same Brownian motion and the weak error estimation $O(N^{-1})$ obtained when comparing the expectations of the same function of the diffusion and of the Euler scheme at the terminal time $T$. We also check that the supremum over $tin[0,T]$ of the Wasserstein distance on the space of probability measures on the real line between the laws of the diffusion at time $t$ and the Euler scheme at time $t$ behaves like $O(sqrtlog(N)N^{-1})$.

Review text

Let \(X\) be a solution of a one-dimensional stochastic differential equation and let \(\bar{X}\) be its Euler discretization with \(N\) steps. Let \(\mathcal{W}(\mathcal{L}(X),\mathcal{L}(\bar{X}))\) be the Wasserstein distance between the pathwise laws \(\mathcal{L}(X)\) and \(\mathcal{L}(\bar{X}).\) The authors prove that \(\mathcal{W}(\mathcal{L}(X),\mathcal{L}(\bar{X}))\) behaves like \(\mathcal{O}(N^{-2/3+\varepsilon})\), where \(\varepsilon\) is an arbitrary positive constant. This rate is intermediate between the strong error estimation \(\mathcal{O}(N^{-1/2})\) and the weak error estimation \(\mathcal{O}(N^{-1}).\) They also prove that the supremum over \(t\in [0,T]\) of the Wasserstein distance between the laws \(\mathcal{L}(X_{t})\) and \(\mathcal{L}(\bar{X}_{t})\) is \(\mathcal{O}(\sqrt{\log N}N^{-1})\).

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