We show that if a sequence of piecewise affine linear processes converges in the strong sense with a positive rate to a stochastic process that is strongly Hölder continuous in time, then this sequence converges in the strong sense even with respect to much stronger Hölder norms and the convergence rate is essentially reduced by the Hölder exponent. Our first application hereof establishes pathwise convergence rates for spectral Galerkin approximations of stochastic partial differential equations. Our second application derives strong convergence rates of multilevel Monte Carlo approximations of expectations of Banach-space-valued stochastic processes.
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