A note on explicit Milstein-type scheme for stochastic differential equation with Markovian switching
DOI10.1016/j.cam.2021.113594zbMath1503.65016arXiv1909.07882OpenAlexW3155668641WikidataQ115359671 ScholiaQ115359671MaRDI QIDQ2029663
Publication date: 3 June 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1909.07882
rate of strong convergenceMilstein-type schemestochastic differential equation with Markovian switching
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (1)
Cites Work
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