The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero

DOI10.1515/rose-2023-2003OpenAlexW4322493672WikidataQ117219047 ScholiaQ117219047MaRDI QIDQ6112113

Kamal Hiderah

Publication date: 7 July 2023

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2023-2003

zbMATH Keywords

strong convergencestochastic differential equationslocal timeone-sided Lipschitz conditiontruncated Euler-Maruyama approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Controllability (93B05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary

Cites Work

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