Convergence of numerical solutions to stochastic differential equations with Markovian switching

Zhencheng Fan

Applied Mathematics and Computation, 2017, vol. 315, issue C, 176-187

Abstract: The paper develops strong approximation schemes for solutions of stochastic differential equations with Markovian switching (SDEwMSs). The convergent orders of existing strong numerical schemes all are 0.5. This paper provides a convergence theorem for the construction of strong approximations of any given order of convergence for SDEwMSs, and then constructs the order 1 scheme, the order 1.5 scheme.

Keywords: Stochastic differential equations; Markovian switching; Generalized Itô formula; Simulation; Numerical approximations (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:315:y:2017:i:c:p:176-187

DOI: 10.1016/j.amc.2017.07.061

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