Author:
Benabdallah Mohsine,Hiderah Kamal
Abstract
Abstract
We present the Euler–Maruyama approximation for one-dimensional stochastic differential equations involving the local time at point zero.
Also, we prove the strong convergence of the Euler–Maruyama approximation whose both drift and diffusion coefficients are Lipschitz.
After that, we generalize to the non-Lipschitz case.
Subject
Applied Mathematics,Statistics and Probability
Reference72 articles.
1. Perturbed Skorohod equations and perturbed reflected diffusion processes;Ann. Inst. Henri Poincaré Probab. Stat.,2005
2. On skew Brownian motion;Ann. Probab.,1981
3. Le “Skew-Brownian motion” et les processus qui en dérivent;Teor. Veroyatnost. i Primenen.,1990
4. One-dimensional stochastic differential equations with singular and degenerate coefficients;Sankhyā,2005
5. One-dimensional stochastic differential equations with generalized and singular drift;Stochastic Process. Appl.,2013
Cited by
6 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献