Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
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Publication:1427725
DOI10.1016/j.matcom.2003.09.001zbMath1044.65007OpenAlexW2130906647MaRDI QIDQ1427725
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
convergencenumerical resultsBrownian motionstochastic differential equationserror estimateMarkovian switchingEuler-Maruyama methodMarkov chain generator
Computational methods in Markov chains (60J22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical analysis or methods applied to Markov chains (65C40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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