Convergence-rate conjecture for the randomized truncated Milstein method

From papers

Let y(t)y(t) be the solution of the stochastic differential equation under Assumptions A1, A2, and A3, and let XΔ(t)X_\Delta(t) denote the continuous-time approximation produced by the randomized truncated Milstein method with step size Δ\Delta. For any p>2p>2, assume that Assumptions A1, A2, and A3 hold. Let qˉ>0\bar{q}>0, ε(0,1/4)\varepsilon\in(0,1/4), and Δ(0,1]\Delta\in(0,1]. Then

Convergence-rate conjecture. There is a constant HH independent of Δ\Delta such that

supt0tTEy(t)XΔ(t)qˉH(Δmin(12ε,α+12)qˉ).\sup_{t_0\leq t\leq T}\mathbb{E}\lvert y(t)-X_\Delta(t)\rvert^{\bar{q}}\leq H\left(\Delta^{\min(1-2\varepsilon,\alpha+\frac{1}{2})\bar{q}}\right).

The conjecture predicts that randomization improves the convergence rate from min(12ε,α)\min(1-2\varepsilon,\alpha) to min(12ε,α+1/2)\min(1-2\varepsilon,\alpha+1/2); the source states that a proof was still in progress and supports the claim with numerical simulations.

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Sources & referencesView supporting material

Primary source

Juan Liao, Wei Liu and Xiaoyan Wang, “Truncated Milstein method for non-autonomous stochastic differential equations and its modification”, arXiv:2011.00023 (2021).

Additional references

2 papers in this index state this conjecture (2020). The statement above is taken from the most recent of them; the others are arXiv:2002.04065.

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