dorsal/arxiv
View SchemaA Randomized Milstein Scheme for SDEs with Superlinear Drift Coefficient
| Authors | Sani Biswas |
|---|---|
| Categories | |
| ArXiv ID | 2601.09437vv1 |
| URL | https://arxiv.org/abs/2601.09437 |
| License | http://creativecommons.org/licenses/by/4.0/ |
Abstract
This work presents a randomized-tamed Milstein scheme for stochastic differential equations whose drift coefficient exhibits superlinear growth in the state variable and limited temporal regularity, quantified by $\beta$-H\"older continuity with $\beta \in (0,1]$. The scheme combines a taming mechanism to control the superlinear state dependence with a drift randomization strategy designed to address the challenges posed by low temporal regularity. Under suitable assumptions on temporal smoothness, the scheme achieves an optimal strong $\mathscr{L}^p$-convergence rate of order one.
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"abstract": "This work presents a randomized-tamed Milstein scheme for stochastic differential equations whose drift coefficient exhibits superlinear growth in the state variable and limited temporal regularity, quantified by $\\beta$-H\\\"older continuity with $\\beta \\in (0,1]$. The scheme combines a taming mechanism to control the superlinear state dependence with a drift randomization strategy designed to address the challenges posed by low temporal regularity. Under suitable assumptions on temporal smoothness, the scheme achieves an optimal strong $\\mathscr{L}^p$-convergence rate of order one.",
"arxiv_id": "2601.09437",
"authors": [
"Sani Biswas"
],
"categories": [
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"license": "http://creativecommons.org/licenses/by/4.0/",
"title": "A Randomized Milstein Scheme for SDEs with Superlinear Drift Coefficient",
"url": "https://arxiv.org/abs/2601.09437",
"version": "v1"
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