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math.PR2023
The Milstein scheme for singular SDEs with Hölder continuous drift
Máté Gerencsér, Gerald Lampl, Chengcheng Ling
We study the rate of convergence of the Milstein scheme for SDEs when the drift coefficients possess only Hölder regularity. If the diffusion is elliptic and sufficiently reg…
math.PR2023
Path-by-path uniqueness for stochastic differential equations under Krylov-Röckner condition
Lukas Anzeletti, Khoa Lê, Chengcheng Ling
We show that any stochastic differential equation (SDE) driven by Brownian motion with drift satisfying the Krylov-Röckner condition has exactly one solution in an ordinary sense f…