3 papers
math.PR2024
Regularisation by Gaussian rough path lifts of fractional Brownian motions
Konstantinos Dareiotis, Máté Gerencsér, Khoa Lê +1
The aim of the paper is to show the probabilistically strong well-posedness of rough differential equations with distributional drifts driven by the Gaussian rough path lift of fra…
math.PR2023
A central limit theorem for the Euler method for SDEs with irregular drifts
Konstantinos Dareiotis, Máté Gerencsér, Khoa Lê
The goal of this article is to establish a central limit theorem for the Euler-Maruyama scheme approximating multidimensional SDEs with elliptic Brownian diffusion, under very mild…
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…