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

K. Dareiotis, M. Gerencser, Electronic Journal of Probability 25 (2020).

Download
OA 2020_EJournProbab_Dareiotis.pdf 273.04 KB

Journal Article | Published | English

Scopus indexed
Author
Dareiotis, Konstantinos; Gerencser, MateIST Austria
Department
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 the 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 all bounded measurable coefficients.
Publishing Year
Date Published
2020-07-16
Journal Title
Electronic Journal of Probability
Volume
25
Article Number
82
eISSN
IST-REx-ID

Cite this

Dareiotis K, Gerencser M. On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift. Electronic Journal of Probability. 2020;25. doi:10.1214/20-EJP479
Dareiotis, K., & Gerencser, M. (2020). On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift. Electronic Journal of Probability, 25. https://doi.org/10.1214/20-EJP479
Dareiotis, Konstantinos, and Mate Gerencser. “On the Regularisation of the Noise for the Euler-Maruyama Scheme with Irregular Drift.” Electronic Journal of Probability 25 (2020). https://doi.org/10.1214/20-EJP479.
K. Dareiotis and M. Gerencser, “On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift,” Electronic Journal of Probability, vol. 25, 2020.
Dareiotis K, Gerencser M. 2020. On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift. Electronic Journal of Probability. 25.
Dareiotis, Konstantinos, and Mate Gerencser. “On the Regularisation of the Noise for the Euler-Maruyama Scheme with Irregular Drift.” Electronic Journal of Probability, vol. 25, 82, Institute of Mathematical Statistics, 2020, doi:10.1214/20-EJP479.
All files available under the following license(s):
Creative Commons Attribution 4.0 International Public License (CC-BY 4.0):
Main File(s)
Access Level
OA Open Access
Date Uploaded
2020-09-21
MD5 Checksum
8e7c42e72596f6889d786e8e8b89994f


Export

Marked Publications

Open Data IST Research Explorer

Sources

arXiv 1812.04583

Search this title in

Google Scholar