Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process

DOI10.1080/15326349.2020.1748506zbMath1469.60177OpenAlexW3017111482MaRDI QIDQ4997063

Mohamed Bourza, Mohsine Benabdallah

Publication date: 28 June 2021

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2020.1748506

zbMATH Keywords

stochastic differential equationsconvergence ratelocal time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Local time and additive functionals (60J55)

Related Items (2)

Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation

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