Numerical solutions for jump-diffusions with regime switching

DOI10.1080/17442500512331341068zbMath1071.60050OpenAlexW2048247854MaRDI QIDQ5460725

Qingshuo Song, Zhimin Zhang, G. George Yin

Publication date: 18 July 2005

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500512331341068

zbMATH Keywords

discretizationweak convergenceMarkov chainsnumerical methodsstochastic differential equationsfinite differencesmartingale problem

Mathematics Subject Classification ID

Related Items (15)

Numerical solutions of regime-switching jump diffusions ⋮ Asymptotic properties of jump-diffusion processes with state-dependent switching ⋮ Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching ⋮ 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 ⋮ Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations ⋮ On the estimation of regime-switching Lévy models ⋮ A multivariate stochastic hybrid model with switching coefficients and jumps: solution and distribution ⋮ Stability of numerical methods for jump diffusions and Markovian switching jump diffusions ⋮ On the stability of jump-diffusions with Markovian switching ⋮ Mixture dynamics and regime switching diffusions with application to option pricing ⋮ Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching ⋮ Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions ⋮ A regime-switching model with jumps and its application to bond pricing and insurance ⋮ Martingale problems for switched processes

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