Approximation Methods for Hybrid Diffusion Systems with State-Dependent Switching Processes: Numerical Algorithms and Existence and Uniqueness of Solutions
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Publication:3066245
DOI10.1137/080727191zbMath1208.65019OpenAlexW1972145423MaRDI 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/
Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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