Sharp Wasserstein Convergence Rates for Empirical Path Laws of It\^o Processes

Abstract

We establish the sharp logarithmic order $(\log N)^{-1/2}$ for the expected $p$-Wasserstein distance, induced by the supremum norm, between the empirical law of $N$ independent copies of a continuous It\^o process and their common path law. We only assume that the initial condition and the drift and diffusion integrands are controlled by a time-uniform random upper bound with a finite $\rho$-moment for some $\rho>p\geq1$. Under this assumption, we use an adaptive random time interval partition argument, which leads to a $(\log n)^{-1/2}$ functional quantization rate. A general transfer principle then converts the quantization estimate into a mean estimate and nonasymptotic deviation bounds for equal-weight empirical laws. Applications include empirical path-law estimates for path-dependent SDEs and a path-space propagation-of-chaos estimate for path-dependent McKean--Vlasov interacting particle systems.