Improved error estimate for the order of strong convergence of the Euler method for random ordinary differential equations
share
It is well known that the Euler method for approximating the solutions of a random ordinary differential equation dX_t/dt = f(t, X_t, Y_t) driven by a stochastic process {Y_t}_t with θ-Hölder sample paths is estimated to be of strong order θ with respect to the time step, provided f=f(t, x, y) is sufficiently regular and with suitable bounds. Here, it is proved that, in many typical cases, further conditions on the noise can be exploited so that the strong convergence is actually of order 1, regardless of the Hölder regularity of the sample paths. This applies for instance to additive or multiplicative Itô process noises (such as Wiener, Ornstein-Uhlenbeck, and geometric Brownian motion processes); to point-process noises (such as Poisson point processes and Hawkes self-exciting processes, which even have jump-type discontinuities); and to transport-type processes with sample paths of bounded variation. The result is based on a novel approach, estimating the global error as an iterated integral over both large and small mesh scales, and switching the order of integration to move the critical regularity to the large scale. The work is complemented with numerical simulations illustrating the strong order 1 convergence in those cases, and with an example with fractional Brownian motion noise with Hurst parameter 0 < H < 1/2 for which the order of convergence is H + 1/2, hence lower than the attained order 1 in the examples above, but still higher than the order H of convergence expected from previous works.
READ FULL TEXT
