A Randomized Milstein Scheme for SDEs with Superlinear Drift Coefficient

Sani Biswas

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arXiv · 2601.09437

A Randomized Milstein Scheme for SDEs with Superlinear Drift Coefficient

Sani Biswas

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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 $\beta$-H\"older continuity with $\beta \in (0,1]$. 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.

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Sani Biswas. 2026-01-14. A Randomized Milstein Scheme for SDEs with Superlinear Drift Coefficient. https://arxiv.org/abs/2601.09437

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