Papers › Strong order-one convergence of the Euler method for random ordinary differential...
Strong order-one convergence of the Euler method for random ordinary differential equations driven by semi-martingale noises
Peter E. Kloeden, Ricardo M. S. Rosa
The archive published only this paper's code-link row. Authors, date and abstract are from arXiv's metadata (CC0), read from the Kaggle arXiv metadata snapshot of 2026-09-12 where its title matched the archive's; the title is the archive's.
It is well known that the Euler method for a random ordinary differential equation dXₜ/dt = f(t, Xₜ, Yₜ) driven by a stochastic process {Yₜ}ₜ with θ-H\"older sample paths is estimated to be of strong order θ with respect to the time step, provided f=f(t, x, y) is sufficiently regular and with suitable bounds. This order is known to increase to $1$ in some special cases. Here, it is proved that, in many more typical cases, further structures on the noise can be exploited so that the strong convergence is of order 1. In fact, we prove so for any semi-martingale noise. This includes It\^o diffusion processes, point-process noises, transport-type processes with sample paths of bounded variation, and time-changed Brownian motion. The result follows from estimating the global error as an iterated integral over both large and small mesh scales, and by switching the order of integration to move the critical regularity to the large scale. The work is complemented with numerical simulations showing the optimality of the strong order 1 convergence in those cases, and with an example with fractional Brownian motion noise with Hurst parameter 0 < H < 1/2, which is not a semi-martingale and for which the order of convergence is H + 1/2, hence lower than the attained order 1 in the semi-martingale case, but still higher than the order H of convergence expected from previous works.
Code
Repository list and official/mentioned flags are the archive's, frozen 2025-07-28. Reachability, where shown, is from one Syntology probe window (2026-09-16 to 2026-09-18); repositories not probed show nothing. GitHub stars are not tracked.
Code Syntology ran Syntology
Not run by Syntology. Nothing on this page verifies that the listed code works.
Results from the paper archive 2025-07-28
No leaderboard rows for this paper in the archive.
Report a problem or propose a change · a person checks every report against the paper or source before anything changes; decisions are listed on /corrections