Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process

DOI10.1515/mcma-2016-0115zbMath1351.60087OpenAlexW2544379658MaRDI QIDQ350292

Youssfi Elkettani, Kamal Hiderah, Mohsine Benabdallah

Publication date: 7 December 2016

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

Full work available at URL: https://doi.org/10.1515/mcma-2016-0115

zbMATH Keywords

stochastic differential equationstrong convergencebounded variationlocal timeEuler-Maruyama approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25) Local time and additive functionals (60J55)

Related Items

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 ⋮ Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero ⋮ Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process

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