带Hölder系数的状态切换随机微分方程的Euler-Maruyama方法

Q2 Mathematics

Communications on Stochastic Analysis Pub Date : 2019-09-01 DOI:10.31390/cosa.13.3.04

D. Nguyen, S. L. Nguyen

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Euler-Maruyama Method for Regime Switching Stochastic Differential Equations with Hölder Coefficients

In this paper, we develop Euler-Maruyama scheme for a wideranging class of stochastic differential equations with regime switching under such conditions that allow drift and diffusion coefficients being Hölder continuous. The strong convergence of the numerical method is proved. In addition, the rate of convergence is obtained under similar conditions to the case of usual diffusions. Some numerical examples are provided to illustrate the results.

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来源期刊

Communications on Stochastic Analysis Mathematics-Statistics and Probability

CiteScore

2.40

自引率

0.00%

发文量

期刊介绍： The journal Communications on Stochastic Analysis (COSA) is published in four issues annually (March, June, September, December). It aims to present original research papers of high quality in stochastic analysis (both theory and applications) and emphasizes the global development of the scientific community. The journal welcomes articles of interdisciplinary nature. Expository articles of current interest will occasionally be published. COSAis indexed in Mathematical Reviews (MathSciNet), Zentralblatt für Mathematik, and SCOPUS