Abstract
It is well known that the strong error approximation in the space of continuous paths equipped with the supremum norm between a diffusion process, with smooth coefficients, and its Euler approximation with step $1/n$ is $O(n^{-1/2})$ and that the weak error estimation between the marginal laws at the terminal time $T$ is $O(n^{-1})$. An analysis of the weak trajectorial error has been developed by Alfonsi, Jourdain and Kohatsu-Higa [Ann. Appl. Probab. 24 (2014) 1049–1080], through the study of the $p$-Wasserstein distance between the two processes. For a one-dimensional diffusion, they obtained an intermediate rate for the pathwise Wasserstein distance of order $n^{-2/3+\varepsilon}$. Using the Komlós, Major and Tusnády construction, we improve this bound assuming that the diffusion coefficient is linear and we obtain a rate of order $\log n/n$.
Citation
Emmanuelle Clément. Arnaud Gloter. "An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient." Ann. Appl. Probab. 27 (4) 2419 - 2454, August 2017. https://doi.org/10.1214/16-AAP1263
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