Year: 2026
Type: preprint
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.
Source: arXiv (Cornell University)
Author: Biswas, Sani
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7124293912
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