Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups

Crisan, D.; Dobson, P.; Ottobre, M.

doi:10.1090/tran/8301

Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups

Authors: D. Crisan, P. Dobson and M. Ottobre
Journal: Trans. Amer. Math. Soc. 374 (2021), 3289-3330
MSC (2020): Primary 65C20, 65C30, 60H10, 65G99, 47D07, 60J60
DOI: https://doi.org/10.1090/tran/8301
Published electronically: February 26, 2021
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Abstract: We present a criterion for uniform in time convergence of the weak error of the Euler scheme for Stochastic Differential equations (SDEs). The criterion requires (i) exponential decay in time of the space-derivatives of the semigroup associated with the SDE and (ii) bounds on (some) moments of the Euler approximation. We show by means of examples (and counterexamples) how both (i) and (ii) are needed to obtain the desired result. If the weak error converges to zero uniformly in time, then convergence of ergodic averages follows as well. We also show that Lyapunov-type conditions are neither sufficient nor necessary in order for the weak error of the Euler approximation to converge uniformly in time and clarify relations between the validity of Lyapunov conditions, (i) and (ii).

Conditions for (ii) to hold are studied in the literature. Here we produce sufficient conditions for (i) to hold. The study of derivative estimates has attracted a lot of attention, however not many results are known in order to guarantee exponentially fast decay of the derivatives. Exponential decay of derivatives typically follows from coercive-type conditions involving the vector fields appearing in the equation and their commutators; here we focus on the case in which such coercive-type conditions are non-uniform in space. To the best of our knowledge, this situation is unexplored in the literature, at least on a systematic level. To obtain results under such space-inhomogeneous conditions we initiate a pathwise approach to the study of derivative estimates for diffusion semigroups and combine this pathwise method with the use of Large Deviation Principles.

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