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arXiv · 2501.15527

Randomised Euler-Maruyama method for SDEs with H\"older continuous drift coefficient

Jianhai Bao·Yue Wu
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Abstract

In this paper, we examine the performance of randomised Euler-Maruyama (EM) method for additive time-inhomogeneous SDEs with an irregular drift. In particular, the drift is assumed to be $\alpha$-H\"older continuous in time and bounded $\beta$-H\"older continuous in space with $\alpha,\beta\in (0,1]$. The strong order of convergence of the randomised EM in $L^p$-norm is shown to be $1/2+(\alpha \wedge (\beta/2))-\epsilon$ for an arbitrary $\epsilon\in (0,1/2)$, higher than the one of standard EM, which is $\alpha \wedge (1/2+\beta/2-\epsilon)$. The proofs highly rely on the stochastic sewing lemma, where we also provide an alternative proof when handling time irregularity for a comparison.

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Jianhai Bao, Yue Wu. 2025-01-26. Randomised Euler-Maruyama method for SDEs with H\"older continuous drift coefficient. https://arxiv.org/abs/2501.15527

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