Mathematics and System Engineering Faculty Publications

Document Type

Article

Publication Title

Communications on Stochastic Analysis

Abstract

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 Holder 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.

DOI

10.31390/cosa.13.3.04

Publication Date

2019

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