On stochastic differential equations with arbitrarily slow convergence rates for strong approximation in two space dimensions

DOI10.1098/RSPA.2017.0104MaRDI QIDQ4646879zbMATH OpenOpenAlexWikidataFDO

Authors Máté Gerencsér, Arnulf Jentzen, Diyora Salimova

Publication date 28 December 2018

Published in Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1702.03229

zbMATH Keywords

stochastic differential equationlower 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)

Abstract: In the recent article [Jentzen, A., M"uller-Gronbach, T., and Yaroslavtseva, L., Commun. Math. Sci., 14(6), 1477--1500, 2016] it has been established that for every arbitrarily slow convergence speed and every natural number $din4,5,ldots$ there exist $d$-dimensional stochastic differential equations (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. In this paper we strengthen the above result by proving that this slow convergence phenomena also arises in two ($d=2$) and three ($d=3$) space dimensions.

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Cites work

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Cited in

(9)

• A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
• On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
• Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations
• On stochastic differential equations with arbitrary slow convergence rates for strong approximation
• On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient
• On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
• Strong convergence rate for slow-fast stochastic differential equations with Markovian switching
• Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients

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