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

Konstantinos Dareiotis, Máté Gerencsér

Published 2018-12-11Version 1

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 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 a class of everywhere discontinuous coefficients.