On stochastic differential equations with arbitrary slow convergence rates for strong approximation

DOI10.4310/CMS.2016.V14.N6.A1zbMATH Open1355.65012arXiv1506.02828MaRDI QIDQ344368FDOQ344368

Authors: Arnulf Jentzen, Thomas Müller-Gronbach, Larisa Yaroslavtseva 

Publication date: 22 November 2016

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Abstract: In the recent article [Hairer, M., Hutzenthaler, M., Jentzen, A., Loss of regularity for Kolmogorov equations, Ann. Probab. 43 (2015), no. 2, 468--527] it has been shown that there exist stochastic differential equations (SDEs) with infinitely often differentiable and globally bounded coefficients such that the Euler scheme converges to the solution in the strong sense but with no polynomial rate. Hairer et al.'s result naturally leads to the question whether this slow convergence phenomenon can be overcome by using a more sophisticated approximation method than the simple Euler scheme. In this article we answer this question to the negative. We prove that there exist SDEs with infinitely often differentiable and globally bounded coefficients such that no approximation method based on finitely many observations of the driving Brownian motion converges in absolute mean to the solution with a polynomial rate. Even worse, we prove that for every arbitrarily slow convergence speed there exist SDEs with infinitely often differentiable and globally bounded coefficients such that no approximation method based on finitely many observations of the driving Brownian motion can converge in absolute mean to the solution faster than the given speed of convergence.

Full work available at URL: https://arxiv.org/abs/1506.02828

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zbMATH Keywords

stochastic differential equationstrong approximationbounded infinitely differentiable coefficient functionslower error boundsslow convergence ratesmooth coefficients

Mathematics Subject Classification ID

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

Cited In (31)

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• On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
• Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
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• Strong convergence rate for slow-fast stochastic differential equations with Markovian switching
• Pathwise convergence under Knightian uncertainty
• Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients

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