Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients

DOI10.1515/mcma-2022-2107zbMath1493.65020OpenAlexW4213018852WikidataQ115235974 ScholiaQ115235974MaRDI QIDQ2671525

Kamal Hiderah

Publication date: 3 June 2022

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2022-2107

zbMATH Keywords

strong convergencestochastic differential equationslocal timemaximum processEuler-Maruyama approximationone-sided Lipschitz conditionCarathéodory approximate solution

Mathematics Subject Classification ID

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 (2)

Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients ⋮ Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary

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