A Randomized Milstein Scheme for SDEs with Superlinear Drift Coefficient

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Authors: Sani Biswas
Cited by: 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 $β$-Hölder continuity with $β\in (0,1]$. 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.

Fields of Study & Subjects

Stochastic processes and financial applications Numerical methods for differential equations Differential Equations and Numerical Methods

Publication details

Journal / source
arXiv (Cornell University)
Publication date
14 January 2026
Document type
Preprint