Tamed-Euler method for hybrid stochastic differential equations with Markovian switching

DOI10.1016/j.nahs.2018.04.003zbMath1416.65032OpenAlexW2803007813MaRDI QIDQ1730321

George Yin, Tuan Anh Hoang, Dung Tien Nguyen, Son Luu Nguyen

Publication date: 6 March 2019

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nahs.2018.04.003

zbMATH Keywords

stochastic differential equationconvergencerate of convergenceswitching diffusionTamed-Euler scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients, On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching, Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise, Strong convergence of the tamed Euler method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments, Convergence and stability of modified partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments, Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching, A note on explicit Milstein-type scheme for stochastic differential equation with Markovian switching, Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: convergence and its rate, Modeling fast diffusion processes in time integration of stiff stochastic differential equations

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