Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero

被引：7

作者：

Benabdallah, Mohsine ^{[1
]}

Hiderah, Kamal ^{[2
]}

机构：

[1] Univ Ibn Tofail, Dept Math, Fac Sci, Kenitra, Morocco

[2] Univ Aden, Dept Math, Fac Sci, Aden, Yemen

来源：

MONTE CARLO METHODS AND APPLICATIONS | 2018年 / 24卷 / 04期

关键词：

Euler-Maruyama approximation; strong convergence; stochastic differential equations; local time;

D O I：

10.1515/mcma-2018-2021

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：249 / 262

页数：14

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