The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero
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Publication:6112113
DOI10.1515/rose-2023-2003OpenAlexW4322493672WikidataQ117219047 ScholiaQ117219047MaRDI QIDQ6112113
Publication date: 7 July 2023
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/rose-2023-2003
strong convergencestochastic differential equationslocal timeone-sided Lipschitz conditiontruncated Euler-Maruyama approximation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Controllability (93B05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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