Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient

DOI10.1016/J.JCO.2023.101822arXiv2303.05346OpenAlexW4390510689MaRDI QIDQ6154556FDOQ6154556

Authors: Simon Ellinger 

Publication date: 15 February 2024

Published in: Journal of Complexity (Search for Journal in Brave)

Abstract: We study pathwise approximation of strong solutions of scalar stochastic differential equations (SDEs) at a single time in the presence of discontinuities of the drift coefficient. Recently, it has been shown by M"uller-Gronbach and Yaroslavtseva (2022) that for all $pin[1,infty)$ a transformed Milstein-type scheme reaches an $L^p$-error rate of at least $3/4$ when the drift coefficient is a piecewise Lipschitz-continuous function with a piecewise Lipschitz-continuous derivative and the diffusion coefficient is constant. It has been proven by M"uller-Gronbach and Yaroslavtseva (2020) that this rate $3/4$ is optimal if one additionally assumes that the drift coefficient is bounded, increasing and has a point of discontinuity. While boundedness and monotonicity of the drift coefficient are crucial for the proof of the matching lower bound of M"uller-Gronbach and Yaroslavtseva (2020), we show that both conditions can be dropped. For the proof we apply a transformation technique which was so far only used to obtain upper bounds.

Full work available at URL: https://arxiv.org/abs/2303.05346

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zbMATH Keywords

strong approximationstochastic differential equationslower error boundsdiscontinuous drift coefficient

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Numerical methods for ordinary differential equations (65Lxx) Probabilistic methods, stochastic differential equations (65Cxx)

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Cited In (4)

• Numerical methods for SDEs with drift discontinuous on a set of positive reach
• Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift
• On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
• On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients

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