preprint
On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
Konstantinos
Dareiotis
author
Mate
Gerencser
author 44ECEDF2-F248-11E8-B48F-1D18A9856A87
JaMa
department
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.
ArXiv2018
eng
1812.04583
12
K. Dareiotis, M. Gerencser, (2018).
Dareiotis K, Gerencser M. On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift. 2018.
Dareiotis, Konstantinos, and Mate Gerencser. “On the Regularisation of the Noise for the Euler-Maruyama Scheme with Irregular Drift.” ArXiv, 2018.
Dareiotis, Konstantinos, and Mate Gerencser. <i>On the Regularisation of the Noise for the Euler-Maruyama Scheme with Irregular Drift</i>. 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. ArXiv.
Dareiotis K, Gerencser M. 2018. On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift.
63592019-04-30T07:40:17Z2020-01-22T13:08:23Z