Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process

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

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Cites work

A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
An algorithmic introduction to numerical simulation of stochastic differential equations
Higher-order implicit strong numerical schemes for stochastic differential equations
ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
On irregular functionals of SDEs and the Euler scheme
On stochastic differential equations
On the uniqueness of solutions of stochastic differential equations
Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
Perturbed Brownian motions
Some calculations for doubly perturbed Brownian motion
Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
The Euler scheme with irregular coefficients
The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
Upper and lower limits of doubly perturbed Brownian motion
Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)

Cited in

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Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS

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