Convergence Rates for Approximations of Functionals of SDEs

Abstract

We consider upper bounds for the approximation error E|g(X)-g(\hat X)|^p, where X and \hat X are random variables such that \hat X is an approximation of X in the L_p-norm, and the function g belongs to certain function classes, which contain e.g. functions of bounded variation. We apply the results to the approximations of a solution of a stochastic differential equation at time T by the Euler and Milstein schemes. For the Euler scheme we provide also a lower bound.