Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching

DOI10.1016/J.AMC.2021.125959MaRDI QIDQ2242121zbMATH OpenOpenAlexWikidataFDO

Authors Jingjun Zhao, Yulian Yi, Yang Xu

Publication date 9 November 2021

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2021.125959

zbMATH Keywords

Markov processmean square convergencemonotone conditionsmall noisestochastic differential equation

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Applications of continuous-time Markov processes on discrete state spaces (60J28) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(4)

• A note on explicit Milstein-type scheme for stochastic differential equation with Markovian switching
• On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching
• Mean square convergence of explicit two-step methods for highly nonlinear stochastic differential equations
• Strong convergence rate for slow-fast stochastic differential equations with Markovian switching

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