Convergence of the Euler-Maruyama method for CIR model with Markovian switching

DOI10.1016/J.MATCOM.2020.04.013OpenAlexW3018192452MaRDI QIDQ1998090FDOQ1998090

Authors: Tiandao Zhou, Xinghu Jin, Jinying Tong, Zhen Zhong Zhang 

Publication date: 6 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2020.04.013

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zbMATH Keywords

parameter estimationrate of convergencequadratic variationMarkovian switchingHölder continuous

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Genetics and population dynamics (92Dxx) Mathematical economics (91Bxx) Special processes (60Kxx)

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Cited In (2)

• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• Some characterizations for the CIR model with Markov switching

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