Dareiotis, K and Gerencsér, M (2020) On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift. Electronic Journal of Probability, 25. 82. ISSN 1083-6489
Abstract
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | This is protected by copyright. All rights reserved. This is an open access article under the terms of the Creative Commons Attribution 4.0 International (CC BY 4.0) (https://creativecommons.org/licenses/by/4.0/) |
Keywords: | stochastic differential equations; Euler-Maruyama scheme; quadrature estimates |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 12 Jun 2020 09:32 |
Last Modified: | 15 Oct 2021 09:28 |
Status: | Published |
Publisher: | Institute of Mathematical Statistics |
Identification Number: | 10.1214/20-EJP479 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:161759 |