Strong solutions of a class of hybrid diffusion processes with state-dependent regime-switching

DOI10.1016/J.APNUM.2013.03.008zbMATH Open1300.91053OpenAlexW1988561446MaRDI QIDQ465080FDOQ465080

Authors: A. Rathinasamy, Baojian Yin 

Publication date: 31 October 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2013.03.008

Recommendations

• Approximation methods for hybrid diffusion systems with state-dependent switching processes: numerical algorithms and existence and uniqueness of solutions
• Regime-switching diffusion processes: strong solutions and strong Feller property
• Numerical solution algorithms for stochastic differential systems with switching diffusion
• Numerical solutions of regime-switching jump diffusions
• Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions

zbMATH Keywords

convergencestrong solutionnumerical algorithmhybrid diffusion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (2)

• Regime-switching diffusion processes: strong solutions and strong Feller property
• Approximation methods for hybrid diffusion systems with state-dependent switching processes: numerical algorithms and existence and uniqueness of solutions

This page was built for publication: Strong solutions of a class of hybrid diffusion processes with state-dependent regime-switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q465080)