I believe the following statement is equivalent to $f$ being uniformly continuous:
$$ f(x + h) = f(x) + \mathcal{O}_{|h| \to 0}(h) $$
I am wondering whether this statement is equivalent to $f$ being uniformly continuous as well:
$$ f(x + h) = f(x) + \mathcal{O}_{|h| \to 0}(\sqrt{h}) $$
Or in general:
$$ f(x + h) = f(x) + \mathcal{O}_{|h| \to 0}(h^{\alpha}); \alpha \in (0, 1) $$
Intuitively I don't think the above statement holds, but I am struggling to find an counterexample.
Many thanks in advance!
Unfortunately, your belief is incorrect. It is somewhat close to being correct though. Note that your statement implies that $$|f(x+h) - f(x)| \leqslant L\cdot|h|$$ This is precisely the definition of $L$-Lipschitz continuity. An important thing to note is that $L$-Lipschitz contunity $\implies$ Uniform continuity, but the reverse implication is NOT necessarily true. A simple counterexample is $f(x) = \sqrt{|x|}$. So, your statement implies uniform continuity, but it is surely not equivalent.
Once again, for any fixed $\alpha \in (0,1)$, a simple counterexample will be $f(x) = \left(\sqrt{|x|}\right)^\alpha$, which is uniformly continuous. But you can show that (say, at $x = 0$), your statement does NOT hold. Thus, by no means your statement is equivalent to uniform continuity.