Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations
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Publication:425955
DOI10.1016/J.NONRWA.2011.09.012zbMATH Open1239.65004OpenAlexW2090460594MaRDI QIDQ425955FDOQ425955
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
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Cited In (16)
- Analysis of a stochastic Holling type II predator-prey model under regime switching
- Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
- Strong convergence of the tamed Euler method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
- Stability in Distribution of Path-Dependent Hybrid Diffusion
- Convergence of numerical solutions to stochastic differential equations with Markovian switching
- Iterative weak approximation and hard bounds for switching diffusion
- On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching
- Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
- Diffusion approximation of nonhomogeneous switching processes and its application to rate of convergence analysis of computational procedures
- Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching
- A note on explicit Milstein-type scheme for stochastic differential equation with Markovian switching
- Ergodic property of the chemostat: a stochastic model under regime switching and with general response function
- Pathwise convergence rate for numerical solutions of stochastic differential equations
- Strong convergence rate for slow-fast stochastic differential equations with Markovian switching
- Pathwise convergence under Knightian uncertainty
- Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise
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