Asymptotic error distribution for the Ninomiya-Victoir scheme in the commutative case.

Summary In a previous work, we proved strong convergence with order 1 of the Ninomiya-Victoir scheme $X^{\rm NV}$ with time step $T/N$ to the solution $X$ of the limiting SDE when the Brownian vector fields commute. In this paper, we prove that the normalized error process $N(X−X^{\rm NV})$ converges to an affine SDE with source terms involving the Lie brackets between the Brownian vector fields and the drift vector field. This result ensures that the strong convergence rate is actually 1 when the Brownian vector fields commute, but at least one of them does not commute with the drift vector field. When all the vector fields commute the limit vanishes. Our result is consistent with the fact that the Ninomiya-Victoir scheme solves the SDE in this case.