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

DOI10.1016/J.JCO.2023.101822MaRDI QIDQ6154556zbMATH OpenOpenAlexFDO

Authors Simon Ellinger

Publication date 15 February 2024

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

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

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)

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.

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Cited in

(4)

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

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