Numerical solution algorithms for stochastic differential systems with switching diffusion (Q2441251)

The authors consider vector-valued stochastic differential equations driven by independent standard Wiener processes and subject to Markovian switching. That is, the coefficients of the SDE depend additionally on a parameter which over time follows the path of a homogeneous Markov process with countable state space. For the coefficients standard Lipschitz and linear growth conditions are assumed. The theory of Itō-Taylor expansions for such equations is presented and for the numerical analysis a mean-square order 2/3 method is chosen for the approximation of an SDE example illustrating the applicability of the method. No new theoretical results are contained.