Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
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Publication:1713855
DOI10.1515/mcma-2018-2021OpenAlexW2904003382MaRDI QIDQ1713855
Mohsine Benabdallah, Kamal Hiderah
Publication date: 30 January 2019
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2018-2021
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25) Local time and additive functionals (60J55)
Related Items (6)
Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero ⋮ Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients ⋮ Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients ⋮ The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero ⋮ Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary ⋮ Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
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