Caratheodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients

被引：2

作者：

Hiderah, Kamal ^{[1
]}

机构：

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

来源：

MONTE CARLO METHODS AND APPLICATIONS | 2022年 / 28卷 / 02期

关键词：

Euler-Maruyama approximation; strong convergence; stochastic differential equations; maximum process; Caratheodory approximate solution; local time; one-sided Lipschitz condition; CONVERGENCE;

D O I：

10.1515/mcma-2022-2107

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：

In this paper, we study the Caratheodory approximate solution for a class of stochastic differential equations involving the local time at point zero. Based on the Caratheodory approximation procedure, we prove that stochastic differential equations involving the local time at point zero have a unique solution, and we show that the Caratheodory approximate solution converges to the solution of stochastic differential equations involving the local time at point zero with one-sided Lipschitz drift coefficient.

引用

页码：189 / 198

页数：10

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