The lower-bound conjecture for transformed SDE approximation under (A1)–(A3)

Let x0Rx_0\in\mathbb{R}, let μ,σ ⁣:RR\mu,\sigma\colon\mathbb{R}\to\mathbb{R} satisfy (A1)–(A3), and let XX be the solution of the corresponding SDE. For nNn\in\mathbb{N}, observations consist of Wt1,,WtnW_{t_1},\dots,W_{t_n} at arbitrary times t1,,tn[0,1]t_1,\dots,t_n\in[0,1], followed by a measurable approximation ψ ⁣:RnR\psi\colon\mathbb{R}^n\to\mathbb{R}. Lower-bound conjecture. There exist x0Rx_0\in\mathbb{R}, functions μ,σ ⁣:RR\mu,\sigma\colon\mathbb{R}\to\mathbb{R} satisfying (A1)–(A3), and c(0,)c\in(0,\infty) such that, for every nNn\in\mathbb{N},

inft1,,tn[0,1]ψ:RnR measurableE[X1ψ(Wt1,,Wtn)]cn3/4.\inf_{\substack{t_1,\dots,t_n\in[0,1]\\ \psi\colon\mathbb{R}^n\to\mathbb{R}\text{ measurable}}} \mathbb{E}\bigl[|X_1-\psi(W_{t_1},\dots,W_{t_n})|\bigr]\geq\frac{c}{n^{3/4}}.

This is proposed as a matching lower bound for the order n3/4n^{-3/4} error estimate, showing that the rate cannot generally be improved by any method based on nn evaluations of the driving Brownian motion.

Sources & referencesView supporting material

Primary source

Thomas Müller-Gronbach and Larisa Yaroslavtseva, “A strong order 3/4 method for SDEs with discontinuous drift coefficient”, arXiv:1904.09178 (2019).

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