Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations

DOI10.1016/J.NONRWA.2011.09.012MaRDI QIDQ425955zbMATHOpenAlexFDO

Authors Son Luu Nguyen, G. Yin

Publication date 10 June 2012

Published in Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nonrwa.2011.09.012

zbMATH Keywords

stochastic differential equationnumerical methodstrong invariance principlepathwise weak approximation

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(19)

• Iterative weak approximation and hard bounds for switching diffusion
• Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
• Milstein-type procedures for numerical solutions of stochastic differential equations with Markovian switching
• Strong convergence of the tamed Euler method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
• Pathwise convergence under Knightian uncertainty
• Ergodic property of the chemostat: a stochastic model under regime switching and with general response function
• A note on explicit Milstein-type scheme for stochastic differential equation with Markovian switching
• Stability in distribution of path-dependent hybrid diffusion
• Analysis of a stochastic Holling type II predator-prey model under regime switching
• Convergence of numerical solutions to stochastic differential equations with Markovian switching
• Pathwise convergence rate for numerical solutions of stochastic differential equations
• Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching
• Wasserstein convergence rates for random bit approximations of continuous Markov processes
• On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching
• Approximation of the likelihood function for stochastic differential equations with Markovian switching
• Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
• Strong convergence rate for slow-fast stochastic differential equations with Markovian switching
• Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise
• Diffusion approximation of nonhomogeneous switching processes and its application to rate of convergence analysis of computational procedures

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