Abstract
We consider the Euler–Maruyama method (EM) and the tamed Euler–Maruyama method (TEM) for stochastic differential equations involving the local time at point zero. We provide the rate of strong convergence where the drift coefficient satisfies a one-sided Lipschitz condition and the diffusion coefficient is global Lipschitz.
Acknowledgements
We are thankful to the editor and the anonymous referee for very careful reading, and her/his valuable remarks and suggestions which led to the improvement of the article.
References
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© 2025 Walter de Gruyter GmbH, Berlin/Boston
Articles in the same Issue
- Frontmatter
- Truncated Euler–Maruyama approximation for solving perturbed stochastic differential equations with reflected boundary
- Nonparametric local linear estimation of the conditional distribution for functional and censored data
- On RBSDELs with time-delayed generators and RCLL obstacle
- Stochastic integral for non-adapted processes with respect to the Rosenblatt process
- A note on Euler approximations for stochastic differential equations involving the local time at point zero
- A formula for the density of local time of the Brox diffusion in a time-window
- Controllability of neutral stochastic integro-differential evolution equations driven by a fractional Brownian motion with Hurst parameter lesser than 1/2
Articles in the same Issue
- Frontmatter
- Truncated Euler–Maruyama approximation for solving perturbed stochastic differential equations with reflected boundary
- Nonparametric local linear estimation of the conditional distribution for functional and censored data
- On RBSDELs with time-delayed generators and RCLL obstacle
- Stochastic integral for non-adapted processes with respect to the Rosenblatt process
- A note on Euler approximations for stochastic differential equations involving the local time at point zero
- A formula for the density of local time of the Brox diffusion in a time-window
- Controllability of neutral stochastic integro-differential evolution equations driven by a fractional Brownian motion with Hurst parameter lesser than 1/2