Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups
From MaRDI portal
Publication:5857743
DOI10.1090/TRAN/8301zbMATH Open1466.65013arXiv1905.03524OpenAlexW3048786952MaRDI QIDQ5857743
Author name not available (Why is that?)
Publication date: 7 April 2021
Published in: (Search for Journal in Brave)
Abstract: We present a criterion for uniform in time convergence of the weak error of the Euler scheme for Stochastic Differential equations (SDEs). The criterion requires i) exponential decay in time of the space-derivatives of the semigroup associated with the SDE and ii) bounds on (some) moments of the Euler approximation. We show by means of examples (and counterexamples) how both i) and ii) are needed to obtain the desired result. If the weak error converges to zero uniformly in time, then convergence of ergodic averages follows as well. We also show that Lyapunov-type conditions are neither sufficient nor necessary in order for the weak error of the Euler approximation to converge uniformly in time and clarify relations between the validity of Lyapunov conditions, i) and ii). Conditions for ii) to hold are studied in the literature. Here we produce sufficient conditions for i) to hold. The study of derivative estimates has attracted a lot of attention, however not many results are known in order to guarantee exponentially fast decay of the derivatives. Exponential decay of derivatives typically follows from coercive-type conditions involving the vector fields appearing in the equation and their commutators; here we focus on the case in which such coercive-type conditions are non-uniform in space. To the best of our knowledge, this situation is unexplored in the literature, at least on a systematic level. To obtain results under such space-inhomogeneous conditions we initiate a pathwise approach to the study of derivative estimates for diffusion semigroups and combine this pathwise method with the use of Large Deviation Principles.
Full work available at URL: https://arxiv.org/abs/1905.03524
No records found.
No records found.
This page was built for publication: Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5857743)
