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Numerical solutions for jump-diffusions with regime switching - MaRDI portal

Numerical solutions for jump-diffusions with regime switching (Q5460725)

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scientific article; zbMATH DE number 2187548
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English
Numerical solutions for jump-diffusions with regime switching
scientific article; zbMATH DE number 2187548

    Statements

    title
    Numerical solutions for jump-diffusions with regime switching (English)
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    author
    Qingshuo Song
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    Zhimin Zhang
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    G. George Yin
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    published in
    Stochastics
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    publication date
    18 July 2005
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    zbMATH Keywords
    numerical methods
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    discretization
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    Markov chains
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    weak convergence
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    martingale problem
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    finite differences
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    stochastic differential equations
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    Identifiers

    Mathematics Subject Classification ID
    60H10
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    65C30
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    34F05
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    37H10
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    45J05
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    60J27
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    60J60
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    60J75
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    65C05
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    65C20
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    65C99
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    65L20
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    91G60
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    zbMATH DE Number
    2187548
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    OpenAlex ID
    W2048247854
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