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

DOI10.1016/J.APNUM.2013.03.008MaRDI QIDQ465080zbMATH OpenOpenAlexFDO

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

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)

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

Cited in

(2)

• 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

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)