An application of the KMT construction to the pathwise weak error in the Euler approximation of the geometric Brownian motion - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2015

An application of the KMT construction to the pathwise weak error in the Euler approximation of the geometric Brownian motion

Résumé

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 [1], 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+ε. Using the Komlós , Major and Tusnády construction, we improve this bound in the case of the geometric Brownian motion and we obtain a rate of order log n/n. MSC 2010. 65C30, 60H35.
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Dates et versions

hal-01167276 , version 1 (24-06-2015)
hal-01167276 , version 2 (24-06-2016)

Identifiants

  • HAL Id : hal-01167276 , version 1

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Emmanuelle Clément, Arnaud Gloter. An application of the KMT construction to the pathwise weak error in the Euler approximation of the geometric Brownian motion. 2015. ⟨hal-01167276v1⟩
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