Convergence of numerical solutions to stochastic differential equations with Markovian switching

zbMATH Open1085.60040MaRDI QIDQ3372773FDOQ3372773

Authors: Ronghua Li, Yonghong Dai, Hongbing Meng 

Publication date: 10 March 2006

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Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70)

Cited In (19)

• Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence
• Convergence of the Euler-Maruyama method for CIR model with Markovian switching
• Convergence of numerical solutions to stochastic differential equations with Markovian switching
• Convergence and stability of numerical solution to SDEs with Markovian switching
• Approximations of numerical method for neutral stochastic functional differential equations with Markovian switching
• Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations
• Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• Strong predictor-corrector Euler-Maruyama methods for stochastic differential equations with Markovian switching
• Numerical solutions of stochastic differential equations with multi-Markovian switching
• Milstein-type procedures for numerical solutions of stochastic differential equations with Markovian switching
• Approximations of the Euler-Maruyama method of conditional McKean-Vlasov SDEs with Markovian switching
• Convergence and stability of numerical solutions to SDDEs with Markovian switching
• Convergence of numerical solutions to stochastic pantograph equations with Markovian switching
• Multivalued stochastic differential equations: Convergence of a numerical scheme
• Strong convergence rate for slow-fast stochastic differential equations with Markovian switching
• Numerical solutions of neutral stochastic functional differential equations with Markovian switching
• Numerical solutions of stochastic functional differential equations with impulsive perturbations and Markovian switching
• Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching

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