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Wasserstein Convergence Rates for the EMCEL and Perturbed EMCEL Algorithms


Mar 26, 2019 - 11:25am to 12:45pm


Rettaliata Engineering Center, Room 103


Mikhail Urusov
Department of Mathematics, University of Duisburg-Essen


We discuss the convergence rates in every p-th Wasserstein distance of the EMCEL and related algorithms. For time marginals, we get the rate of 1/4; on the path space, any rate strictly smaller than 1/4. These rates apply also in irregular situations such as, e.g., an SDE with irregular coefficients, sticky Brownian motion, a Brownian motion slowed down on the Cantor set. In contrast to the previous talk, we need to impose an additional assumption on the strong Markov process to be approximated, which is essential, and altogether the treatment of the rates requires different techniques. This is a joint work with Stefan Ankirchner and Thomas Kruse.

Event Type: 

Department of Applied Mathematics - Mathematical Finance and Stochastic Analysis Seminar