Efficient variable step size approximations for strong solutions of stochastic differential equations with additive noise and time singularity
Summary: We consider stochastic differential equations with additive noise and conditions on the coefficients in those equations that allow a time singularity in the drift coefficient. Given a maximum step size, \(h^*\), we specify variable (adaptive) step sizes relative to \(h^*\) which decrease as the time node points approach the singularity. We use an Euler-type numerical scheme to produce an approximate solution and estimate the error in the approximation. When the solution is restricted to a fixed closed time interval excluding the singularity, we obtain a global pointwise error of order \(O(h^*)\). An order of error \(O(h^{*p}\) for any \(p < 1\) is obtained when the approximation is run up to a time within \(h^{*q}\) of the singularity for an appropriate choice of exponent \(q\). We apply this scheme to Brownian bridge, which is defined as the nonanticipating solution of a stochastic differential equation of the type under consideration. In this special case, we show that the global pointwise error is of order \(O(h^*)\), independent of how close to the singularity the approximation is considered.
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