A High Order Accurate and Effective Scheme for Solving Markovian Switching Stochastic Models
نویسندگان
چکیده
In this paper, we propose a new weak order 2.0 numerical scheme for solving stochastic differential equations with Markovian switching (SDEwMS). Using the Malliavin analysis, theoretically prove that has local 3.0 convergence rate. Combining special property of Markov chain, study effects from changes state space on rate scheme. Two experiments are given to verify theoretical results.
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ژورنال
عنوان ژورنال: Mathematics
سال: 2021
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math9060588