Iterative weak approximation and hard bounds for switching diffusion

DOI10.1007/s10959-022-01185-xzbMath1520.60041arXiv2202.11242WikidataQ114225087 ScholiaQ114225087MaRDI QIDQ6161601

Reiichiro Kawai, Qinjing Qiu

Publication date: 5 June 2023

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.11242

zbMATH Keywords

hidden Markov modeldiffusion processescontinuous-time Markov chainsrecursive iterationsweakly coupled partial differential equations

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Continuous-time Markov processes on discrete state spaces (60J27)

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