Preparatory Institute For Military Academies, University Studies Department, Avenue Maréchal Tito, Sousse, 4029, Tunisia.
*E-mail address: zilimounir@yahoo.fr
In this paper we study the Carathéodory [3] approximation for the solution of a stochastic differential equation where the coefficients are not necessarily continuous and involving the local time of the unknown process. We show that the pathwise uniqueness of the solution implies the convergence in the strong sense of the approximation to the solution.
Successive Approximation Solution, Stochastic Differential Equation, Pathwise Uniqueness
