Convergence of numerical solutions to stochastic differential equations with Markovian switching

MaRDI QIDQ3372773zbMATH OpenFDO

Authors Ronghua Li, Yonghong Dai, Hongbing Meng

Publication date 10 March 2006

Mathematics Subject Classification ID

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

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Cited in

(19)

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

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