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

DOI10.1214/20-EJP479MaRDI QIDQ2201496zbMATHFDO

Authors Máté Gerencsér, Konstantinos Dareiotis

Publication date 29 September 2020

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.04583

zbMATH Keywords

stochastic differential equationsEuler-Maruyama schemequadrature estimates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: The strong rate of convergence of the Euler-Maruyama scheme for nondegenerate SDEs with irregular drift coefficients is considered. In the case of $alpha$-H"older drift in the recent literature the rate $alpha/2$ 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 $alpha>0$. The result extends to Dini continuous coefficients, while in $d=1$ also to all bounded measurable coefficients.

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Cited in

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