Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations
From MaRDI portal
Publication:425955
DOI10.1016/j.nonrwa.2011.09.012zbMath1239.65004OpenAlexW2090460594MaRDI QIDQ425955
Publication date: 10 June 2012
Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.nonrwa.2011.09.012
stochastic differential equationnumerical methodstrong invariance principlepathwise weak approximation
Related Items
On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching, Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching, Ergodic property of the chemostat: a stochastic model under regime switching and with general response function, Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise, Strong convergence of the tamed Euler method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments, Stability of numerical methods for jump diffusions and Markovian switching jump diffusions, Tamed-Euler method for hybrid stochastic differential equations with Markovian switching, Analysis of a stochastic Holling type II predator-prey model under regime switching, A note on explicit Milstein-type scheme for stochastic differential equation with Markovian switching, Stability in Distribution of Path-Dependent Hybrid Diffusion, Pathwise convergence under Knightian uncertainty
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions
- A survey of numerical methods for stochastic differential equations
- Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
- On competitive Lotka-Volterra model in random environments
- Hybrid switching diffusions. Properties and applications
- p-norm bounds on the expectation of the maximum of a possibly dependent sample
- Extensions of results of Komlós, Major, and Tusnády to the multivariate case
- A note on Euler's approximations
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Pathwise convergence rate for numerical solutions of stochastic differential equations
- Approximation Methods for Hybrid Diffusion Systems with State-Dependent Switching Processes: Numerical Algorithms and Existence and Uniqueness of Solutions
- Weak convergence in the Prokhorov metric of methods for stochastic differential equations
- Weak Approximation of Solutions of Systems of Stochastic Differential Equations
- A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
- Almost sure invariance principles for partial sums of weakly dependent random variables
- Real Analysis and Probability
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
- Discrete-Time Markov Chains
- A Note on the Rate of Convergence of the Euler–Maruyama Method for Stochastic Differential Equations
- Numerical solutions for jump-diffusions with regime switching
- Stochastic Differential Equations with Markovian Switching