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

DOI10.1016/j.cam.2019.03.035zbMath1416.65029OpenAlexW2941540222WikidataQ128118439 ScholiaQ128118439MaRDI QIDQ2315815

Yingzi Chen, Ai-Guo Xiao, Wan-Sheng Wang

Publication date: 26 July 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.03.035

zbMATH Keywords

stochastic differential equationstrong convergenceMarkovian switchingjump-diffusionone-sided Lipschitz conditionnon-Lipschitz conditions

Mathematics Subject Classification ID

Related Items (3)

Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes ⋮ Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise ⋮ Adams predictor-corrector method for solving uncertain differential equation

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