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

DOI10.1016/J.MATCOM.2020.04.013MaRDI QIDQ1998090zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Hölder continuousMarkovian switchingparameter estimationquadratic variationrate of convergence

Mathematics Subject Classification ID

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

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Cited in

(6)

• 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
• Strong convergence of the Euler scheme for a delayed jump-diffusion CIR model with Markovian switching
• Estimation and testing in generalized CIR model
• Analytical computation of conditional moments in the extended Cox-Ingersoll-Ross process with regime switching: hybrid PDE system solutions with financial applications
• Euler scheme for some SDEs with fractional noise and Markov switching

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