Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process (Q350292): Difference between revisions
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| Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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| Property / Mathematics Subject Classification ID: 41A25 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C30 / rank | |||
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| Property / zbMATH DE Number: 6661878 / rank | |||
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Euler-Maruyama approximation | |||
| Property / zbMATH Keywords: Euler-Maruyama approximation / rank | |||
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strong convergence | |||
| Property / zbMATH Keywords: strong convergence / rank | |||
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stochastic differential equation | |||
| Property / zbMATH Keywords: stochastic differential equation / rank | |||
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local time | |||
| Property / zbMATH Keywords: local time / rank | |||
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bounded variation | |||
| Property / zbMATH Keywords: bounded variation / rank | |||
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Revision as of 08:13, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process |
scientific article |
Statements
Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process (English)
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7 December 2016
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Euler-Maruyama approximation
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strong convergence
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stochastic differential equation
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local time
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bounded variation
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