Upper Error Bounds for Approximations of Stochastic Differential Equations with Markovian Switching
نویسنده
چکیده
We consider stochastic differential equations with Markovian switching (SDEwMS). An SDEwMS is an ordinary stochastic differential equation with drift and diffusion coefficients depending not only on the current state of the solution but also on the current state of a right-continuous Markov chain taking values in a finite state space. Let W be a one-dimensional Brownian motion on the unit interval and let r be a right-continuous Markov chain with state space S := {1, 2, . . . , N} and transition probabilities
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