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

Benabdallah Mohsine () and Hiderah Kamal ()
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Benabdallah Mohsine: Department of Mathematics, Faculty of Science, University of Ibn Tofail, Kenitra, Morocco
Hiderah Kamal: Department of Mathematics, Faculty of Science, University of Aden, Aden, Yemen

Monte Carlo Methods and Applications, 2018, vol. 24, issue 4, 249-262

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.

Keywords: Euler–Maruyama approximation; strong convergence; stochastic differential equations; local time (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1515/mcma-2018-2021

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