High order weak approximation of Stochastic Differential Equations for bounded and measurable test functions
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866913284792254464 |
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| author | Rey, Clément |
| author_facet | Rey, Clément |
| contents | We present a method for approximating solutions of Stochastic Differential Equations (SDEs) with arbitrary rates. This approximation is derived for bounded and measurable test functions. Specifically, we demonstrate that, leveraging the standard weak approximation properties of numerical schemes for smooth test functions (such as first-order weak convergence for the Euler scheme) we can achieve convergence for simply bounded and measurable test functions at any desired rate by constructing a tailored approximation for the semigroup of the SDE. This is achieved by evaluating the scheme (e.g., Euler) on a random time grid. To establish convergence, we exploit the regularization properties of the scheme, which hold under a weak uniform Hörmander condition. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_17596 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | High order weak approximation of Stochastic Differential Equations for bounded and measurable test functions Rey, Clément Probability 60J05, 65C05, 65C20, 35H10, 60F17 We present a method for approximating solutions of Stochastic Differential Equations (SDEs) with arbitrary rates. This approximation is derived for bounded and measurable test functions. Specifically, we demonstrate that, leveraging the standard weak approximation properties of numerical schemes for smooth test functions (such as first-order weak convergence for the Euler scheme) we can achieve convergence for simply bounded and measurable test functions at any desired rate by constructing a tailored approximation for the semigroup of the SDE. This is achieved by evaluating the scheme (e.g., Euler) on a random time grid. To establish convergence, we exploit the regularization properties of the scheme, which hold under a weak uniform Hörmander condition. |
| title | High order weak approximation of Stochastic Differential Equations for bounded and measurable test functions |
| topic | Probability 60J05, 65C05, 65C20, 35H10, 60F17 |
| url | https://arxiv.org/abs/2403.17596 |