---
_id: '6359'
abstract:
- lang: eng
text: 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.
article_number: '82'
article_processing_charge: No
article_type: original
author:
- first_name: Konstantinos
full_name: Dareiotis, Konstantinos
last_name: Dareiotis
- first_name: Mate
full_name: Gerencser, Mate
id: 44ECEDF2-F248-11E8-B48F-1D18A9856A87
last_name: Gerencser
citation:
ama: 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
apa: Dareiotis, K., & Gerencser, M. (2020). On the regularisation of the noise
for the Euler-Maruyama scheme with irregular drift. Electronic Journal of Probability.
Institute of Mathematical Statistics. https://doi.org/10.1214/20-EJP479
chicago: Dareiotis, Konstantinos, and Mate Gerencser. “On the Regularisation of
the Noise for the Euler-Maruyama Scheme with Irregular Drift.” Electronic Journal
of Probability. Institute of Mathematical Statistics, 2020. https://doi.org/10.1214/20-EJP479.
ieee: 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. Institute of Mathematical Statistics, 2020.
ista: Dareiotis K, Gerencser M. 2020. On the regularisation of the noise for the
Euler-Maruyama scheme with irregular drift. Electronic Journal of Probability.
25, 82.
mla: 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.
short: K. Dareiotis, M. Gerencser, Electronic Journal of Probability 25 (2020).
date_created: 2019-04-30T07:40:17Z
date_published: 2020-07-16T00:00:00Z
date_updated: 2023-10-16T09:22:50Z
day: '16'
ddc:
- '510'
department:
- _id: JaMa
doi: 10.1214/20-EJP479
external_id:
arxiv:
- '1812.04583'
isi:
- '000550150700001'
file:
- access_level: open_access
checksum: 8e7c42e72596f6889d786e8e8b89994f
content_type: application/pdf
creator: dernst
date_created: 2020-09-21T13:15:02Z
date_updated: 2020-09-21T13:15:02Z
file_id: '8549'
file_name: 2020_EJournProbab_Dareiotis.pdf
file_size: 273042
relation: main_file
success: 1
file_date_updated: 2020-09-21T13:15:02Z
has_accepted_license: '1'
intvolume: ' 25'
isi: 1
language:
- iso: eng
month: '07'
oa: 1
oa_version: Published Version
publication: Electronic Journal of Probability
publication_identifier:
eissn:
- 1083-6489
publication_status: published
publisher: Institute of Mathematical Statistics
quality_controlled: '1'
scopus_import: '1'
status: public
title: On the regularisation of the noise for the Euler-Maruyama scheme with irregular
drift
tmp:
image: /images/cc_by.png
legal_code_url: https://creativecommons.org/licenses/by/4.0/legalcode
name: Creative Commons Attribution 4.0 International Public License (CC-BY 4.0)
short: CC BY (4.0)
type: journal_article
user_id: 2DF688A6-F248-11E8-B48F-1D18A9856A87
volume: 25
year: '2020'
...