The Euler-Maruyama approximation of state-dependent regime switching diffusions

DOI10.1007/s10959-024-01379-5MaRDI QIDQ6624138

Yuzhen Tan, Xinghu Jin, Zhonggen Su, Tian Shen

Publication date: 25 October 2024

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

zbMATH Keywords

change of measureM-matrixEuler-Maruyama schemeJacobi flowSkorokhod's representationlindeberg principlerandom switching with dependent state

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Convergence of probability measures (60B10)

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