Numerical solutions for jump-diffusions with regime switching
discretizationfinite differencesMarkov chainsmartingale problemnumerical methodsstochastic differential equationsweak convergence
Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Integro-ordinary differential equations (45J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27) Diffusion processes (60J60) Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, stochastic differential equations (65C99) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods (including Monte Carlo methods) (91G60)
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- Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
- Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
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