On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift

K. Dareiotis, M. Gerencser, (2018).

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Abstract
The strong rate of convergence of the Euler-Maruyama scheme for nondegenerate SDEs with irregular drift coefficients is considered. In the case of α-Hölder drift in recent literature the rate α/2 was proved in many related situations. By exploiting the regularising effect of the noise more efficiently, we show that the rate is in fact arbitrarily close to 1/2 for all α>0. The result extends to Dini continuous coefficients, while in d=1 also to a class of everywhere discontinuous coefficients.
Publishing Year
Date Published
2018-12-11
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12
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Cite this

Dareiotis K, Gerencser M. On the regularisation of the noise for the Euler-Maruyama scheme with  irregular drift. 2018.
Dareiotis, K., & Gerencser, M. (2018). On the regularisation of the noise for the Euler-Maruyama scheme with  irregular drift. ArXiv.
Dareiotis, Konstantinos, and Mate Gerencser. “On the Regularisation of the Noise for the Euler-Maruyama Scheme with  Irregular Drift.” ArXiv, 2018.
K. Dareiotis and M. Gerencser, “On the regularisation of the noise for the Euler-Maruyama scheme with  irregular drift.” ArXiv, 2018.
Dareiotis K, Gerencser M. 2018. On the regularisation of the noise for the Euler-Maruyama scheme with  irregular drift.
Dareiotis, Konstantinos, and Mate Gerencser. On the Regularisation of the Noise for the Euler-Maruyama Scheme with  Irregular Drift. ArXiv, 2018.

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