Convergence of the Euler–Maruyama method for stochastic differential equations with Markovian switching
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DOI: 10.1016/j.matcom.2003.09.001
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References listed on IDEAS
- Küchler, Uwe & Platen, Eckhard, 2000.
"Strong discrete time approximation of stochastic differential equations with time delay,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 54(1), pages 189-205.
- Küchler, U. & Platen, E., 1999. "Strong discrete time approximation of Stochastic Differential Equations with Time Delay," SFB 373 Discussion Papers 1999,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Uwe Kuchler & Eckhard Platen, 2000. "Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Research Paper Series 44, Quantitative Finance Research Centre, University of Technology, Sydney.
- O. L. V. Costa & E. K. Boukas, 1998. "Necessary and Sufficient Condition for Robust Stability and Stabilizability of Continuous-Time Linear Systems with Markovian Jumps," Journal of Optimization Theory and Applications, Springer, vol. 99(2), pages 359-379, November.
- Mao, Xuerong, 1999. "Stability of stochastic differential equations with Markovian switching," Stochastic Processes and their Applications, Elsevier, vol. 79(1), pages 45-67, January.
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Cited by:
- Cañada, Héctor & Romera, Rosario, 2009. "Controlled diffusion processes with markovian switchings for modeling dynamical engineering systems," DES - Working Papers. Statistics and Econometrics. WS ws093714, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Yang Li & Taitao Feng & Yaolei Wang & Yifei Xin, 2021. "A High Order Accurate and Effective Scheme for Solving Markovian Switching Stochastic Models," Mathematics, MDPI, vol. 9(6), pages 1-15, March.
- Zhang, Zhenzhong & Zhou, Tiandao & Jin, Xinghu & Tong, Jinying, 2020. "Convergence of the Euler–Maruyama method for CIR model with Markovian switching," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 192-210.
- Romuald Hervé Momeya & Manuel Morales, 2016. "On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 107-135, March.
- Gao, Xiangyu & Liu, Yi & Wang, Yanxia & Yang, Hongfu & Yang, Maosong, 2021. "Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).
- Fan, Zhencheng, 2017. "Convergence of numerical solutions to stochastic differential equations with Markovian switching," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 176-187.
- Ouyang, Mengqian & Li, Xiaoyue, 2015. "Permanence and asymptotical behavior of stochastic prey–predator system with Markovian switching," Applied Mathematics and Computation, Elsevier, vol. 266(C), pages 539-559.
- Cañada, Héctor & Romera, Rosario, 2012. "Controlled diffusion processes with Markovian switchings for modeling dynamical engineering systems," European Journal of Operational Research, Elsevier, vol. 221(3), pages 614-624.
- Xinghu Jin & Tian Shen & Zhonggen Su & Yuzhen Tan, 2025. "The Euler-Maruyama Approximation of State-Dependent Regime Switching Diffusions," Journal of Theoretical Probability, Springer, vol. 38(1), pages 1-40, March.
- Xinghu Jin & Tian Shen & Zhonggen Su, 2023. "Using Stein’s Method to Analyze Euler–Maruyama Approximations of Regime-Switching Jump Diffusion Processes," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1797-1828, September.
- Zhao, Jingjun & Yi, Yulian & Xu, Yang, 2021. "Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching," Applied Mathematics and Computation, Elsevier, vol. 398(C).
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Keywords
Brownian motion; Euler–Maruyama method; Lipschitz condition; Markov chain generator;All these keywords.
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