Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
DOI10.1515/MCMA-2018-2021OpenAlexW2904003382MaRDI QIDQ1713855FDOQ1713855
Authors: M. Benabdallah, Kamal Hiderah 
Publication date: 30 January 2019
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2018-2021
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)
Cites Work
- Retrospective exact simulation of diffusion sample paths with applications
- On skew Brownian motion
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Title not available (Why is that?)
- Title not available (Why is that?)
- Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
- On stochastic differential equations
- On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients
- On countably skewed Brownian motion with accumulation point
- On the constructions of the skew Brownian motion
- On the uniqueness of solutions of stochastic differential equations
- Title not available (Why is that?)
- Title not available (Why is that?)
- An introduction to stochastic differential equations with reflection
- Skew brownian motion and a one dimensional stochastic differential equation
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- One-dimensional stochastic differential equations with singular and degenerate coefficients
- Title not available (Why is that?)
- Euler's approximations of solutions of SDEs with reflecting boundary.
- Euler scheme for reflected stochastic differential equations
- Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
- Perturbed Skorohod equations and perturbed reflected diffusion processes
- Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
- A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
- One-dimensional stochastic differential equations with generalized and singular drift
- Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
- Title not available (Why is that?)
- Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
- On the time inhomogeneous skew Brownian motion
- Title not available (Why is that?)
- On the existence of a time inhomogeneous skew Brownian motion and some related laws
- Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)
- ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
- Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
- Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
- Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients
Cited In (7)
- On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time
- Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero
- Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients
- Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients
- The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero
- Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary
- Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
This page was built for publication: Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1713855)
