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Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises
Giulia Di Nunno, Yuliya Mishura, Anton Yurchenko-Tytarenko · 2022-04-19 · via math.PR updates on arXiv.org

In this paper, we analyze the drift-implicit (or backward) Euler numerical scheme for a class of stochastic differential equations with unbounded drift driven by an arbitrary $λ$-Hölder continuous process, $λ\in(0,1)$. We prove that, under some mild moment assumptions on the Hölder constant of the noise, the $L^r(Ω;L^\infty([0,T]))$-rate of convergence is equal to $λ$. To exemplify, we consider numerical schemes for the generalized Cox--Ingersoll-Ross and Tsallis--Stariolo--Borland models. The results are illustrated by simulations.

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