Convergence of numerical solutions to stochastic differential equations with Markovian switching

DOI10.1016/j.amc.2017.07.061zbMath1426.65007OpenAlexW2744929052MaRDI QIDQ1740143

Zhencheng Fan

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

zbMATH Keywords

simulationstochastic differential equationsnumerical approximationsMarkovian switchinggeneralized Itô formula

Mathematics Subject Classification ID

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)

Related Items

Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions

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