On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
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.
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Institute of Mathematical Statistics
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