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

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

Xuerong Mao, Chenggui Yuan

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

convergence; numerical results; Brownian motion; stochastic differential equations; error estimate; Markovian switching; Euler-Maruyama method; Markov chain generator

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65C40: Numerical analysis or methods applied to Markov chains

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

65C30: Numerical solutions to stochastic differential and integral equations

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