<div class="csl-bib-body">
<div class="csl-entry">Gerencser, M., Lampl, G., & Ling, C. (2025). The Milstein scheme for singular SDEs with Hölder continuous drift. <i>IMA Journal of Numerical Analysis</i>, <i>45</i>(5), 3077–3108. https://doi.org/10.1093/imanum/drae083</div>
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dc.identifier.issn
0272-4979
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/223148
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dc.description.abstract
We study the L<sup>p</sup> rate of convergence of the Milstein scheme for stochastic differential equations when the drift coefficients possess only Hölder regularity. If the diffusion is elliptic and sufficiently regular, we obtain rates consistent with the additive case. The proof relies on regularization by noise techniques, particularly stochastic sewing, which in turn requires (at least asymptotically) sharp estimates on the law of the Milstein scheme, which may be of independent interest.
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dc.description.sponsorship
FWF - Österr. Wissenschaftsfonds
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dc.language.iso
en
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dc.publisher
OXFORD UNIV PRESS
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dc.relation.ispartof
IMA Journal of Numerical Analysis
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dc.subject
Malliavin calculus
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dc.subject
Milstein scheme
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dc.subject
regularization by noise
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dc.subject
singular SDEs
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dc.subject
stochastic sewing
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dc.subject
strong approximation
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dc.subject
Zvonkin’s transformation
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dc.title
The Milstein scheme for singular SDEs with Hölder continuous drift
Quantum Optical Binding of Levitated Nanoparticles QBind Application for the Principal Investigator Project Submitted to the Austrian Science Fund (FWF) by Dr. Uros
