For SDEs with Hölder drift driven by symmetric α-stable noise, α∈(1,2), the randomised Euler-Maruyama scheme has L^p strong order 1/2 + β ∧ (η/α) ∧ 1/2 − ε, above the standard EM order.
Lévy processes, volume 121 ofCambridge Tracts in Mathematics
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Randomised Euler-Maruyama Method for SDEs with H\"older Continuous Drift Coefficient Driven by $\alpha$-stable L\'evy Process
For SDEs with Hölder drift driven by symmetric α-stable noise, α∈(1,2), the randomised Euler-Maruyama scheme has L^p strong order 1/2 + β ∧ (η/α) ∧ 1/2 − ε, above the standard EM order.