On the convergence of adaptive approximations for stochastic differential equations

In this paper, we study numerical approximations for stochastic differential equations (SDEs) that use adaptive step sizes. In particular, we consider a general setting where decisions to reduce step sizes are allowed to depend on the future trajectory of the underlying Brownian motion. Since these adaptive step sizes may not be previsible, the standard mean squared error analysis cannot be directly applied to show that the numerical method converges to the solution of the SDE. Building upon the pioneering work of Gaines and Lyons, we shall instead use rough path theory to establish convergence for a wide class of adaptive numerical methods on general Stratonovich SDEs (with sufficiently smooth vector fields). To the author's knowledge, this is the first error analysis applicable to standard solvers, such as the Milstein and Heun methods, with non-previsible step sizes. In our analysis, we require the sequence of adaptive step sizes to be nested and the SDE solver to have unbiased "L\'evy area" terms in its Taylor expansion. We conjecture that for adaptive SDE solvers more generally, convergence is still possible provided the method does not introduce "L\'evy area bias". We present a simple example where the step size control can skip over previously considered times, resulting in the numerical method converging to an incorrect limit (i.e. not the Stratonovich SDE). Finally, we conclude with a numerical experiment demonstrating a newly introduced adaptive scheme and showing the potential improvements in accuracy when step sizes are allowed to be non-previsible.