GENERAL DIFFUSION PROCESSES AS LIMIT OF TIME-SPACE MARKOV CHAINS

We prove the convergence of the law of grid-valued random walks, which can be seen as time-space Markov chains, to the law of a general diffusion process. This includes processes with sticky features, reflecting or absorbing boundaries and skew behavior. We prove that the convergence occurs at any rate strictly inferior to (1/4) perpendicular to (1/p) in terms of the maximum cell size of the grid, for any p-Wasserstein distance. We also show that it is possible toachieve any rate strictly inferior to (1/2) perpendicular to (2/p) if the grid is adapted to the speed measure of the diffusion, which is optimal for p <= 4. This result allows us to set up asymptotically optimal approximation schemes for general diffusion processes. Last, we experiment numerically on diffusions that exhibit various features.