Affiliation:
1. Department of Mathematics , Faculty of Science , University of Aden , Aden , Yemen
Abstract
Abstract
Recently, Mao developed a new explicit method, called the truncated Euler–Maruyama method for nonlinear SDEs, and established the strong convergence
theory under the local Lipschitz condition plus the Khasminskii-type condition. The key aim of this paper is to establish the rate of strong convergence of the truncated Euler–Maruyama method for one-dimensional stochastic differential equations involving that the local time at point zero under the drift coefficient satisfies a one-sided Lipschitz condition and plus some additional conditions.
Subject
Statistics and Probability,Analysis
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