Variable-step Euler-Maruyama approximations of regime-switching jump diffusion processes
DOI10.1007/S10959-023-01253-WzbMATH Open1541.6005MaRDI QIDQ6556245
Xinghu Jin, Zhonggen Su, Peng Chen, Tian Shen
Publication date: 17 June 2024
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Continuous-time Markov processes on discrete state spaces (60J27) Jump processes on general state spaces (60J76)
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