Convergence Rate of Euler–Maruyama Scheme for SDEs with Hölder–Dini Continuous Drifts

In this paper, we are concerned with convergence rate of Euler–Maruyama scheme for stochastic differential equations with Hölder–Dini continuous drifts. The key contributions are as follows: (i) by means of regularity of non-degenerate Kolmogrov equation, we investigate convergence rate of Euler–Maruyama scheme for a class of stochastic differential equations which allow the drifts to be Dini continuous and unbounded; (ii) by the aid of regularization properties of degenerate Kolmogrov equation, we discuss convergence rate of Euler–Maruyama scheme for a range of degenerate stochastic differential equations where the drifts are Hölder–Dini continuous of order 2/3 with respect to the first component and are merely Dini-continuous concerning the second component.