The weak rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local times of the unknown process
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Publication:6281504
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) Rate of convergence, degree of approximation (41A25)
Abstract: In this paper, we consider the weak convergence of the Euler-Maruyama approximation for one dimensional stochastic differential equations involving the local times of the unknown process. We use a transformation in order to remove the local time from the stochastic differential equations and we provide the approximation of Euler-maruyama for the stochastic differential equations without local time. After that, we conclude the approximation of Euler-maruyama for one dimensional stochastic differential equations involving the local times of the unknown process , and we provide the rate of weak convergence for any function G in a certain class.
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