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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Detalhes bibliográficos

Principais autores:	Yang Li, Taitao Feng, Yaolei Wang, Yifei Xin
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2021-03-01
Colecção:	Mathematics
Assuntos:	weak order 2.0 scheme markovian switching malliavin calculus
Acesso em linha:	https://www.mdpi.com/2227-7390/9/6/588
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