Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching (Q5347527): Difference between revisions

Latest revision as of 10:14, 30 July 2024

scientific article; zbMATH DE number 6722944

Language	Label	Description	Also known as
English	Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching	scientific article; zbMATH DE number 6722944

Statements

instance of

scholarly article

0 references

title

Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching (English)

0 references

zbMATH Open document ID

0 references

0 references

0 references

0 references

0 references

0 references

SIAM Journal on Numerical Analysis

0 references

publication date

24 May 2017

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

numerical solution

0 references

switching SDE

0 references

convergence

0 references

rate of convergence

0 references

Milstein-type procedure

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Permanence and Extinction of Regime-Switching Predator-Prey Models

0 references

Numerical solutions of regime-switching jump diffusions

0 references

Q4004325

0 references

Q3995465

0 references

Approximate Integration of Stochastic Differential Equations

0 references

Stochastic Differential Equations with Markovian Switching

0 references

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

0 references

Q4508926

0 references

Q4265503

0 references

Approximation Methods for Hybrid Diffusion Systems with State-Dependent Switching Processes: Numerical Algorithms and Existence and Uniqueness of Solutions

0 references

Numerical solutions for jump-diffusions with regime switching

0 references

Continuous-time Markov chains and applications. A two-time-scale approach

0 references

Hybrid switching diffusions. Properties and applications

0 references

Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.

0 references

Nonlinear Filtering and Control of a Switching Diffusion with Small Observation Noise

0 references

Stock Trading: An Optimal Selling Rule

0 references

full work available at URL

https://doi.org/10.1137/16m1084730

0 references

OpenAlex ID

W2606813737

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5347527

@@ Property / author @@
-Dung Tien Nguyen
@@ Property / author: Dung Tien Nguyen / rank @@
-Normal rank
@@ Property / author @@
+Dung Tien Nguyen
@@ Property / author: Dung Tien Nguyen / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Permanence and Extinction of Regime-Switching Predator-Prey Models
+Normal rank
@@ Property / cites work @@
+Numerical solutions of regime-switching jump diffusions
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3995465
@@ Property / cites work: Q3995465 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximate Integration of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Equations with Markovian Switching
+Normal rank
@@ Property / cites work @@
+Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4508926
@@ Property / cites work: Q4508926 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4265503
@@ Property / cites work: Q4265503 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation Methods for Hybrid Diffusion Systems with State-Dependent Switching Processes: Numerical Algorithms and Existence and Uniqueness of Solutions
+Normal rank
@@ Property / cites work @@
+Numerical solutions for jump-diffusions with regime switching
+Normal rank
@@ Property / cites work @@
+Continuous-time Markov chains and applications. A two-time-scale approach
+Normal rank
@@ Property / cites work @@
+Hybrid switching diffusions. Properties and applications
+Normal rank
@@ Property / cites work @@
+Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
+Normal rank
@@ Property / cites work @@
+Nonlinear Filtering and Control of a Switching Diffusion with Small Observation Noise
+Normal rank
@@ Property / cites work @@
+Stock Trading: An Optimal Selling Rule
@@ Property / cites work: Stock Trading: An Optimal Selling Rule / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1137/16m1084730
+Normal rank
@@ Property / OpenAlex ID @@
+W2606813737
@@ Property / OpenAlex ID: W2606813737 / rank @@
+Normal rank