Approximation of Euler Maruyama for one-dimensional stochastic differential equations involving the maximum process

被引：0

作者：

Hiderah, Kamal ^{[1
]}

机构：

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

来源：

MONTE CARLO METHODS AND APPLICATIONS | 2020年 / 26卷 / 01期

关键词：

Euletr-Maruyama approximation; strong convergence; stochastic differential equations; maximum process; CONVERGENCE; SCHEME; LIMITS; SDES;

D O I：

10.1515/mcma-2020-2057

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：

The aim of this paper is to show the approximation of Euler-Maruyama X-t(n) for one-dimensional stochastic differential equations involving the maximum process. In addition to that it proves the strong convergence of the Euler-Maruyama whose both drift and diffusion coefficients are Lipschitz. After that, it generalizes to the non-Lipschitz case.

引用

页码：33 / 47

页数：15

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