A High Order Accurate and Effective Scheme for Solving Markovian Switching Stochastic Models

A High Order Accurate and Effective Scheme for Solving Markovian Switching Stochastic Models

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 stochastic analysis, we theoretically prove that the new scheme has local weak order 3.0 convergence rate. Combining the special proper...

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Bibliographic Details
Main Authors: Yang Li, Taitao Feng, Yaolei Wang, Yifei Xin
Format: Article
Language:English
Published: MDPI AG 2021-03-01
Series:Mathematics
Subjects:
weak order 2.0 scheme
markovian switching
malliavin calculus
Online Access:https://www.mdpi.com/2227-7390/9/6/588

Internet

https://www.mdpi.com/2227-7390/9/6/588

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