Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process
Author:
Affiliation:
1. Department of Mathematical Sciences, Ibn Tofaïl University, Kenitra, Morocco
Publisher
Informa UK Limited
Subject
Applied Mathematics,Modelling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/15326349.2020.1748506
Reference37 articles.
1. On irregular functionals of SDEs and the Euler scheme
2. The law of the Euler scheme for stochastic differential equations
3. Skew brownian motion and a one dimensional stochastic differential equation
4. Approximation of Euler–Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
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3. Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients;Stochastic Analysis and Applications;2022-04-24
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