Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise
From MaRDI portal
Publication:6130376
DOI10.1016/j.jmaa.2024.128175OpenAlexW4391426055MaRDI QIDQ6130376
Chaman Kumar, Divyanshu Vashistha
Publication date: 2 April 2024
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2024.128175
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Numerical solutions of regime-switching jump diffusions
- Optimal global approximation of stochastic differential equations with additive Poisson noise
- Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations
- Strong approximations of stochastic differential equations with jumps
- Numerical solution of stochastic differential equations with jumps in finance
- Hybrid switching diffusions. Properties and applications
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control
- Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
- Optimal global approximation of jump-diffusion SDEs via path-independent step-size control
- Step size control for the uniform approximation of systems of stochastic differential equations with additive noise.
- A note on explicit Milstein-type scheme for stochastic differential equation with Markovian switching
- Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh
- On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching
- Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions
- Asymptotic properties of jump-diffusion processes with state-dependent switching
- On the stability of jump-diffusions with Markovian switching
- Financial Modelling with Jump Processes
- Optimal approximation of stochastic differential equations by adaptive step-size control
- Optimal sampling design for global approximation of jump diffusion stochastic differential equations
- Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching
- Numerical solutions for jump-diffusions with regime switching
- Stochastic Differential Equations with Markovian Switching
- Applied stochastic control of jump diffusions
- The optimal discretization of stochastic differential equations
