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

DOI10.1016/J.MATCOM.2020.04.013OpenAlexW3018192452MaRDI QIDQ1998090

Xinghu Jin, Jinying Tong, Tiandao Zhou, 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

rate of convergenceparameter estimationquadratic variationMarkovian switchingHölder continuous

Mathematics Subject Classification ID

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

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