Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

We consider an Euler-Maruyama type approximation method for a stochastic differential equation (SDE) with a non-regular drift and regular diffusion coefficient. The method regularizes the drift coefficient within a certain class of functions and then the Euler-Maruyama scheme for the regularized scheme is used as an approximation. This methodology gives two errors. The first one is the error of regularization of the drift coefficient within a given class of parametrized functions. The second one is the error of the regularized Euler -Maruyama scheme. After an optimization procedure with respect to the parameters we obtain various rates, which improve other known results. (C) 2017 Elsevier B.V. All rights reserved.