Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown 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) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

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Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients
Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
Expansion of the global error for numerical schemes solving stochastic differential equations
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The Euler scheme with irregular coefficients
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Cited in

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Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients
Euler-Maruyama approximation for diffusion process generated by divergence form operator with discontinuous coefficients

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