Strong solutions of a class of hybrid diffusion processes with state-dependent regime-switching

DOI10.1016/J.APNUM.2013.03.008zbMath1300.91053OpenAlexW1988561446MaRDI QIDQ465080

A. Rathinasamy, Baojian Yin

Publication date: 31 October 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2013.03.008

zbMATH Keywords

convergencestrong solutionnumerical algorithmhybrid diffusion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical solutions to stochastic differential and integral equations (65C30)

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