Approximation of Euler–Maruyama for one-dimensional stochastic differential equations involving the maximum process
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DOI: 10.1515/mcma-2020-2057
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References listed on IDEAS
- Chan, K. S. & Stramer, O., 1998. "Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 33-44, August.
- Chaumont, L. & Doney, R. A., 2000. "Some calculations for doubly perturbed Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 85(1), pages 61-74, January.
- Rainer Avikainen, 2009. "On irregular functionals of SDEs and the Euler scheme," Finance and Stochastics, Springer, vol. 13(3), pages 381-401, September.
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Keywords
Euler–Maruyama approximation; strong convergence; stochastic differential equations; maximum process; 60H35; 41A25; 60H10; 60J55; 65C30;All these keywords.
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