The truncated Euler–Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero

IF 0.3 Q4 STATISTICS & PROBABILITY
Kamal Hiderah
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引用次数: 0

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.
包含零点局部时间的一维随机微分方程的截断Euler-Maruyama方法
摘要最近,毛提出了一种新的求解非线性SDE的显式方法,称为截断Euler–Maruyama方法,并建立了在局部Lipschitz条件加上Khasminski型条件下的强收敛理论。本文的主要目的是建立一维随机微分方程截断Euler–Maruyama方法的强收敛速度,该方法涉及漂移系数下零点的局部时间满足单侧Lipschitz条件和一些附加条件。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Random Operators and Stochastic Equations
Random Operators and Stochastic Equations STATISTICS & PROBABILITY-
CiteScore
0.60
自引率
25.00%
发文量
24
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