Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20) Rate of convergence, degree of approximation (41A25)
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- Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
- Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
- Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
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Cited in
(8)- The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero
- Euler-Maruyama approximation for diffusion process generated by divergence form operator with discontinuous coefficients
- Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients
- Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
- 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
- On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time
- Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary
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