Affiliation:
1. Department of Mathematics , Faculty of Science , Aden University , Aden , Yemen
Abstract
Abstract
In this paper, we study the Carathéodory approximate solution for a class of stochastic differential equations involving the local time at point zero.
Based on the Carathéodory approximation procedure, we prove that stochastic differential equations involving the local time at point zero have a unique solution, and we show that the Carathéodory approximate solution converges to the solution of stochastic differential equations involving the local time at point zero with one-sided Lipschitz drift coefficient.
Subject
Applied Mathematics,Statistics and Probability
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