Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching
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Publication:5347527
DOI10.1137/16M1084730zbMath1362.65017OpenAlexW2606813737MaRDI QIDQ5347527
George Yin, Son Luu Nguyen, Tuan Anh Hoang, Dung Tien Nguyen
Publication date: 24 May 2017
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1084730
Computational methods in Markov chains (60J22) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Continuous-time Markov processes on discrete state spaces (60J27)
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