Numerical solutions of jump diffusions with Markovian switching

MaRDI QIDQ2886611zbMATH OpenFDO

Authors Jun Ye, Kai Li

Publication date 1 June 2012

Published in Acta Mathematica Sinica. Chinese Series (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1103.2049

zbMATH Keywords

jump diffusion equationsMarkovian switchingnumerical solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In this paper we consider the numerical solutions for a class of jump diffusions with Markovian switching. After briefly reviewing necessary notions, a new jump-adapted efficient algorithm based on the Euler scheme is constructed for approximating the exact solution. Under some general conditions, it is proved that the numerical solution through such scheme converge to the exact solution. Moreover, the order of the error between the numerical solution and the exact solution is also derived. Numerical experiments are carried out to show the computational efficiency of the approximation.

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Cited in

(10)

• Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions
• High-order numerical schemes for jump-SDEs
• Numerical solution algorithms for stochastic differential systems with switching diffusion
• Numerical solutions of regime-switching jump diffusions
• scientific article; zbMATH DE number 1343499 (Why is no real title available?)
• scientific article; zbMATH DE number 1054336 (Why is no real title available?)
• Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
• Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model
• Numerical solutions for jump-diffusions with regime switching
• Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions

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