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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-03-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/6/588 |