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

DOI10.1016/j.matcom.2003.09.001zbMath1044.65007OpenAlexW2130906647MaRDI QIDQ1427725

Chenggui Yuan, Xuerong Mao

Publication date: 14 March 2004

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2003.09.001

zbMATH Keywords

convergencenumerical resultsBrownian motionstochastic differential equationserror estimateMarkovian switchingEuler-Maruyama methodMarkov chain generator

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical analysis or methods applied to Markov chains (65C40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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