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