Convergence of numerical solutions to stochastic differential equations with Markovian switching
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Publication:1740143
DOI10.1016/j.amc.2017.07.061zbMath1426.65007OpenAlexW2744929052MaRDI QIDQ1740143
Publication date: 29 April 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2017.07.061
simulationstochastic differential equationsnumerical approximationsMarkovian switchinggeneralized Itô formula
Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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