Strong predictor-corrector Euler-Maruyama methods for stochastic differential equations with Markovian switching

DOI10.1016/J.CAM.2012.07.001zbMath1259.65006arXiv1103.1103OpenAlexW2023462791MaRDI QIDQ455819

Jun Ye, Lili Xiao, Hai-Bo Li

Publication date: 22 October 2012

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

Full work available at URL: https://arxiv.org/abs/1103.1103

zbMATH Keywords

stabilitystochastic differential equationconvergencenumerical exampleMarkovian switchingstrong predictor-corrector Euler-Maruyama methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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