Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes (Q6111893): Difference between revisions

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scientific article; zbMATH DE number 7722789

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English	Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes	scientific article; zbMATH DE number 7722789

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instance of

scholarly article

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title

Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes (English)

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Journal of Theoretical Probability

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publication date

4 August 2023

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zbMATH Keywords

Euler-Maruyama scheme

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Jacobi flow

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Markovian switching

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Poisson process

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Stein's equation

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MaRDI profile type

MaRDI publication profile

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cites work

Lévy Processes and Stochastic Calculus

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Approximation of invariant measures for regime-switching diffusions

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Stein's method for steady-state diffusion approximations of \(\mathrm{M}/\mathrm{Ph}/n+\mathrm{M}\) systems

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Stein's method for steady-state diffusion approximations: an introduction through the Erlang-A and Erlang-C models

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Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions

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Ergodicity for time-changed symmetric stable processes

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Exponential ergodicity for Markov processes with random switching

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Multivariate approximations in Wasserstein distance by Stein's method and Bismut's formula

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Diffusion models and steady-state approximations for exponentially ergodic Markovian queues

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Numerical solutions of regime-switching jump diffusions

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Q5313290

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Strong convergence of the Euler-Maruyama approximation for a class of Lévy-driven SDEs

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On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes

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Harnack inequality and applications for stochastic evolution equations with monotone drifts

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Stabilization and destabilization of hybrid systems of stochastic differential equations

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Stochastic Differential Equations with Markovian Switching

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Numerical method for stationary distribution of stochastic differential equations with Markovian switching

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Stability of Markovian processes I: criteria for discrete-time Chains

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Stability of Markovian processes II: continuous-time processes and sampled chains

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Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes

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On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes

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Normal Approximations with Malliavin Calculus

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Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields

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The Euler scheme for Lévy driven stochastic differential equations

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Euler-Maruyama approximation for SDEs with jumps and non-Lipschitz coefficients

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Long-time behavior of stable-like processes

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Ergodicity of regime-switching diffusions in Wasserstein distances

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Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions

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Criteria for ergodicity of Lévy type operators in dimension one

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Exponential ergodicity and strong ergodicity for SDEs driven by symmetric \(\alpha \)-stable processes

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Asymptotic properties of jump-diffusion processes with state-dependent switching

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Feller property and exponential ergodicity of diffusion processes with state-dependent switching

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On the stability of jump-diffusions with Markovian switching

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On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes

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Numerical solutions for jump-diffusions with regime switching

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Hybrid switching diffusions. Properties and applications

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

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Identifiers

zbMATH Open document ID

1519.60103

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DOI

10.1007/s10959-022-01221-w

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6111893

@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation of invariant measures for regime-switching diffusions
+Normal rank
@@ Property / cites work @@
+Stein's method for steady-state diffusion approximations of \(\mathrm{M}/\mathrm{Ph}/n+\mathrm{M}\) systems
+Normal rank
@@ Property / cites work @@
+Stein's method for steady-state diffusion approximations: an introduction through the Erlang-A and Erlang-C models
+Normal rank
@@ Property / cites work @@
+Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions
+Normal rank
@@ Property / cites work @@
+Ergodicity for time-changed symmetric stable processes
+Normal rank
@@ Property / cites work @@
+Exponential ergodicity for Markov processes with random switching
+Normal rank
@@ Property / cites work @@
+Multivariate approximations in Wasserstein distance by Stein's method and Bismut's formula
+Normal rank
@@ Property / cites work @@
+Diffusion models and steady-state approximations for exponentially ergodic Markovian queues
+Normal rank
@@ Property / cites work @@
+Numerical solutions of regime-switching jump diffusions
+Normal rank
@@ Property / cites work @@
+Q5313290
@@ Property / cites work: Q5313290 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong convergence of the Euler-Maruyama approximation for a class of Lévy-driven SDEs
+Normal rank
@@ Property / cites work @@
+On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes
+Normal rank
@@ Property / cites work @@
+Harnack inequality and applications for stochastic evolution equations with monotone drifts
+Normal rank
@@ Property / cites work @@
+Stabilization and destabilization of hybrid systems of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Equations with Markovian Switching
+Normal rank
@@ Property / cites work @@
+Numerical method for stationary distribution of stochastic differential equations with Markovian switching
+Normal rank
@@ Property / cites work @@
+Stability of Markovian processes I: criteria for discrete-time Chains
+Normal rank
@@ Property / cites work @@
+Stability of Markovian processes II: continuous-time processes and sampled chains
+Normal rank
@@ Property / cites work @@
+Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
+Normal rank
@@ Property / cites work @@
+On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes
+Normal rank
@@ Property / cites work @@
+Normal Approximations with Malliavin Calculus
@@ Property / cites work: Normal Approximations with Malliavin Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
+Normal rank
@@ Property / cites work @@
+The Euler scheme for Lévy driven stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Euler-Maruyama approximation for SDEs with jumps and non-Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+Long-time behavior of stable-like processes
@@ Property / cites work: Long-time behavior of stable-like processes / rank @@
+Normal rank
@@ Property / cites work @@
+Ergodicity of regime-switching diffusions in Wasserstein distances
+Normal rank
@@ Property / cites work @@
+Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
+Normal rank
@@ Property / cites work @@
+Criteria for ergodicity of Lévy type operators in dimension one
+Normal rank
@@ Property / cites work @@
+Exponential ergodicity and strong ergodicity for SDEs driven by symmetric \(\alpha \)-stable processes
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of jump-diffusion processes with state-dependent switching
+Normal rank
@@ Property / cites work @@
+Feller property and exponential ergodicity of diffusion processes with state-dependent switching
+Normal rank
@@ Property / cites work @@
+On the stability of jump-diffusions with Markovian switching
+Normal rank
@@ Property / cites work @@
+On Feller and  Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable  Regimes
+Normal rank
@@ Property / cites work @@
+Numerical solutions for jump-diffusions with regime switching
+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