Convergence of the Euler–Maruyama method for CIR model with Markovian switching

Zhenzhong Zhang, Tiandao Zhou, Xinghu Jin and Jinying Tong

Mathematics and Computers in Simulation (MATCOM), 2020, vol. 177, issue C, 192-210

Abstract: In this paper, we focus on the convergence of stochastic differential equations with Markovian switching and 1∕2-Hölder continuous diffusion coefficients. We give the convergence between numerical solutions and explicit solutions at a rate of 1∕logn by the Euler–Maruyama method. Parameter estimations for CIR model with Markovian switching are obtained by the quadratic variation method and composite likelihood method.

Keywords: Markovian switching; Hölder continuous; Rate of convergence; Parameter estimation; Quadratic variation (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:177:y:2020:i:c:p:192-210

DOI: 10.1016/j.matcom.2020.04.013

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