New Simplified High-Order Schemes for Solving SDEs with Markovian Switching Driven by Pure Jumps

New Simplified High-Order Schemes for Solving SDEs with Markovian Switching Driven by Pure Jumps

New high-order weak schemes are proposed and simplified to solve stochastic differential equations with Markovian switching driven by pure jumps (PJ-SDEwMs). Using Malliavin calculus theory, it is rigorously proven that the new numerical schemes can achieve a high-order convergence rate. Some numeri...

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Bibliographic Details
Main Authors: Yang Li, Yingmei Xu, Qianhai Xu, Yu Zhang
Format: Article
Language:English
Published: MDPI AG 2024-03-01
Series:Axioms
Subjects:
numerical scheme
pure jumps
Markovian switching
Malliavin calculus
Online Access:https://www.mdpi.com/2075-1680/13/3/190

Internet

https://www.mdpi.com/2075-1680/13/3/190

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