The Milstein scheme for singular SDEs with H\"older continuous drift

Authors Máté Gerencsér, Gerald Lampl, Chengcheng Ling

Publication date 25 May 2023

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Smoothness and regularity of solutions to PDEs (35B65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Regularization by noise (60H50) Applications of rough analysis (60L90)

Abstract: We study the

L^{p}

rate of convergence of the Milstein scheme for SDEs when the drift coefficients possess only H"older regularity. If the diffusion is elliptic and sufficiently regular, we obtain rates consistent with the additive case. The proof relies on regularisation by noise techniques, particularly stochastic sewing, which in turn requires (at least asymptotically) sharp estimates on the law of the Milstein scheme, which may be of independent interest.

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