Strong rate of convergence of the Euler scheme for SDEs with irregular drift driven by Levy noise

Abstract

We study the strong rate of convergence of the Euler--Maruyama scheme for a multidimensional stochastic differential equation (SDE) $$ dX_t = b(X_t) \, dt + dL_t, $$ with irregular $β$-Hölder drift, $β> 0$, driven by a Lévy process with exponent $α\in (0, 2]$. For $α\in [2/3, 2]$, we obtain strong $L_p$ and almost sure convergence rates in the entire range $β> 1 - α/2$, where the SDE is known to be strongly well-posed. This significantly improves the current state of the art, both in terms of convergence rate and the range of $α$. Notably, the obtained convergence rate does not depend on $p$, which is a novelty even in the case of smooth drifts. As a corollary of the obtained moment-independent error rate, we show that the Euler--Maruyama scheme for such SDEs converges almost surely and obtain an explicit convergence rate. Additionally, as a byproduct of our results, we derive strong $L_p$ convergence rates for approximations of nonsmooth additive functionals of a Lévy process. Our technique is based on a new extension of stochastic sewing arguments and Lê's quantitative John-Nirenberg inequality.