Iterative weak approximation and hard bounds for switching diffusion

DOI10.1007/S10959-022-01185-XMaRDI QIDQ6161601zbMATH OpenWikidataFDO

Authors Qinjing Qiu, Reiichiro Kawai

Publication date 5 June 2023

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2202.11242

zbMATH Keywords

continuous-time Markov chainsdiffusion processeshidden Markov modelrecursive iterationsweakly coupled partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods in Markov chains (60J22) Continuous-time Markov processes on discrete state spaces (60J27) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We establish a novel convergent iteration framework for a weak approximation of general switching diffusion. The key theoretical basis of the proposed approach is a restriction of the maximum number of switching so as to untangle and compensate a challenging system of weakly coupled partial differential equations to a collection of independent partial differential equations, for which a variety of accurate and efficient numerical methods are available. Upper and lower bounding functions for the solutions are constructed using the iterative approximate solutions. We provide a rigorous convergence analysis for the iterative approximate solutions, as well as for the upper and lower bounding functions. Numerical results are provided to examine our theoretical findings and the effectiveness of the proposed framework.

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Cited in

(2)

• Diffusion approximation of nonhomogeneous switching processes and its application to rate of convergence analysis of computational procedures
• A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes

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