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Euler-Maruyama Approximation for Diffusion Process Generated by Divergence form Operator with Discontinuous Coefficients

Mohamed Bourza

Department of Mathematical Sciences, Faculty of Sciences, Ibn Tofaıl University, Kenitra, B.P. 133, Morocco

Email address: mohamed.bourza@uit.ac.ma

Doi : https://doi.org/10.47013/16.3.9

Cited by : Jordan J. Math & Stat., 16 (3) (2023), 515 - 533

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Received on: July 13, 2022;                                         Accepted on: May 30, 2023

 Abstract. We consider the Euler-Maruyama approximation for time-inhomogeneous one-dimensional stochastic differential equations involving the local time (SDELT), generated by divergence form operators with discontinuous coefficients at zero. We use a space transform in order to remove the local time L0t from the stochastic
differential equation of type ........................

Keywords: stochastic differential equations, local time, Euler-Maruyama method, discontinuous coefficients.