CONVERGENCE IN TOTAL VARIATION OF THE EULER - MARUYAMA SCHEME APPLIED TO DIFFUSION PROCESSES WITH MEASURABLE DRIFT COEFFICIENT AND ADDITIVE NOISE

We are interested in the Euler - Maruyama discretization of a stochastic differential equation in dimension d with constant diffusion coefficient and bounded measurable drift coefficient. In the scheme, a randomization of the time variable is used to get rid of any regularity assumption of the drift in this variable. We prove weak convergence with order 1/2 in total variation distance. When the drift has a spatial divergence in the sense of distributions with ρ th power integrable with respect to the Lebesgue measure in space uniformly in time for some ρ ≥ d, the order of convergence at the terminal time improves to 1 up to some logarithmic factor. In dimension d = 1, this result is preserved when the spatial derivative of the drift is a measure in space with total mass bounded uniformly in time. We confirm our theoretical analysis by numerical experiments.