The weak rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local times of the unknown process
This provides a theoretical convergence guarantee for numerical methods applied to SDEs with local times, which are important in mathematical finance and physics.
The paper establishes the weak convergence rate of the Euler-Maruyama approximation for one-dimensional SDEs with local times, achieving a rate for functions in a specific class.
In this paper, we consider the weak convergence of the Euler-Maruyama approximation for one dimensional stochastic differential equations involving the local times of the unknown process. We use a transformation in order to remove the local time from the stochastic differential equations and we provide the approximation of Euler-maruyama for the stochastic differential equations without local time. After that, we conclude the approximation of Euler-maruyama for one dimensional stochastic differential equations involving the local times of the unknown process , and we provide the rate of weak convergence for any function G in a certain class.