Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations

This work develops numerical approximation algorithms for solutions of stochastic differential equations with Markovian switching. The existing numerical algorithms all use a discrete-time Markov chain for the approximation of the continuous-time Markov chain. In contrast, we generate the continuous...

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Bibliographic Details
Published in:Nonlinear analysis: real world applications Vol. 13; no. 3; pp. 1170 - 1185
Main Authors: Nguyen, Son Luu, Yin, G.
Format: Journal Article
Language:English
Published: Elsevier Ltd 01.06.2012
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ISSN:1468-1218, 1878-5719
Online Access:Get full text
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