Time-dependent weak rate of convergence for functions of generalized bounded variation

DOI10.1080/07362994.2020.1809458MaRDI QIDQ5005986zbMATH OpenOpenAlexWikidataFDO

Authors Antti Luoto

Publication date 12 August 2021

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1609.05768

zbMATH Keywords

approximation using simple random walkfinite difference approximation of the heat equationweak rate of convergence

Mathematics Subject Classification ID

Heat equation (35K05) Sums of independent random variables; random walks (60G50) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Abstract: Let $W$ denote the Brownian motion. For any exponentially bounded Borel function $g$ the function $u$ defined by $u(t,x)=mathbbE[g(x+sigma{W}_{T-t})]$ is the stochastic solution of the backward heat equation with terminal condition $g$. Let $u^n(t,x)$ denote the corresponding approximation generated by a simple symmetric random walk with time steps $2T/n$ and space steps $pmsigmasqrtT/n$ where $sigma>0$. For quite irregular terminal conditions $g$ (bounded variation on compact intervals, locally H"older continuous) the rate of convergence of $u^n(t,x)$ to $u(t,x)$ is considered, and also the behavior of the error $u^n(t,x)-u(t,x)$ as $t$ tends to $T$

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