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

DOI10.1137/080727191zbMath1208.65019MaRDI QIDQ3066245

Dingzhou Cao, Chenggui Yuan, Xuerong Mao, G. George Yin

Publication date: 10 January 2011

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/16873/

zbMATH Keywords

convergence; switching diffusion; numerical algorithm; existence and uniqueness of strong solution

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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