$L^p$-sup Convergence of the Euler-Maruyama Scheme for SDEs with Distributional Besov Drift

Abstract

In this paper we extend existing results on the numerical approximation of one-dimensional SDEs with drift in a negative order Besov space and driven by Brownian motion. Using the Yamada-Watanabe approximation technique, we prove rates in $L^p$, for all $p\geq 2$, applying a Gronwall-type lemma previously used in the literature for SDEs with H\"older continuous coefficients. Additionally, we obtain an explicit convergence rate in the $L^1$-$\sup$ norm.