Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme - Laboratoire Angevin de Recherche en Mathématiques Accéder directement au contenu
Article Dans Une Revue Electronic Journal of Probability Année : 2022

Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme

Résumé

We give bounds for the total variation distance between the solutions to two stochastic dierential equations starting at the same point and with close coecients, which applies in particular to the distance between an exact solution and its Euler-Maruyama scheme in small time. We show that for small t, the total variation distance is of order t r/(2r+1) if the noise coecient σ of the SDE is elliptic and C 2r b , r ∈ N and if the drift is C 1 with bounded derivatives, using multi-step Richardson-Romberg extrapolation. We do not require the drift to be bounded. Then we prove with a counterexample that we cannot achieve a bound better than t 1/2 in general.
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hal-03897789 , version 1 (14-12-2022)

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Pierre Bras, Gilles Pagès, Fabien Panloup. Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme. Electronic Journal of Probability, 2022, 27, pp.1-19. ⟨10.1214/22-EJP881⟩. ⟨hal-03897789⟩
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