The Euler-Maruyama method for SDEs with low-regularity drift

We study the strong $L^p$-convergence rates of the Euler-Maruyama method for stochastic differential equations driven by Brownian motion with low-regularity drift coefficients. Specifically, the drift is assumed to be in the Lebesgue-H\"{o}lder spaces $L^q([0,T]; {\mathcal C}_b^\alpha({\mathbb R}^d))$ with $\alpha\in(0,1)$ and $q\in (2/(1+\alpha),\infty]$. For every $p\geq 2$, by using stochastic sewing and/or the It\^{o}-Tanaka trick, we obtain the $L^p$-convergence rates: $(1+\alpha)/2$ for $q\in [2,\infty]$ and $(1-1/q)$ for $q\in (2/(1+\alpha),2)$. Moreover, we prove that the unique strong solution can be constructed via the Picard iteration.

• Publication year

  2025

• Venue

  Unknown venue

• Publication date

  2025-08-14

• Fields of study

  Mathematics

• Identifiers
  arXiv 2508.10512
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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