Numerical Solutions of Jump Diffusions with Markovian Switching

zbMath1249.60134arXiv1103.2049MaRDI QIDQ2886611

Kai Li, Jun Ye

Publication date: 1 June 2012

Full work available at URL: https://arxiv.org/abs/1103.2049

zbMATH Keywords

numerical solutionsMarkovian switchingjump diffusion equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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