Approximation Methods for Hybrid Diffusion Systems with State-Dependent Switching Processes: Numerical Algorithms and Existence and Uniqueness of Solutions
From MaRDI portal
Publication:3066245
DOI10.1137/080727191zbMath1208.65019MaRDI QIDQ3066245
Dingzhou Cao, Chenggui Yuan, Xuerong Mao, G. George Yin
Publication date: 10 January 2011
Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)
Full work available at URL: https://strathprints.strath.ac.uk/16873/
65C05: Monte Carlo methods
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Related Items
Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching, Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions, Numerical solutions of regime-switching jump diffusions, Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations, Stability of numerical methods for jump diffusions and Markovian switching jump diffusions, Properties of solutions of stochastic differential equations with continuous-state-dependent switching, Feedback controls to ensure global solutions and asymptotic stability of Markovian switching diffusion systems, Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values, Convergence of martingale solutions to the hybrid slow-fast system, Jump-diffusion processes in random environments, Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching, Numerical solution algorithms for stochastic differential systems with switching diffusion, Numerical Methods for Controlled Switching Diffusions
