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A High Order Accurate and Effective Scheme for Solving Markovian Switching Stochastic Models
- Source :
- Mathematics, Vol 9, Iss 6, p 588 (2021)
- Publication Year :
- 2021
- Publisher :
- MDPI AG, 2021.
-
Abstract
- 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 property of Markov chain, we study the effects from the changes of state space on the convergence rate of the new scheme. Two numerical experiments are given to verify the theoretical results.
- Subjects :
- weak order 2.0 scheme
markovian switching
malliavin calculus
Mathematics
QA1-939
Subjects
Details
- Language :
- English
- ISSN :
- 22277390
- Volume :
- 9
- Issue :
- 6
- Database :
- Directory of Open Access Journals
- Journal :
- Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.52272c919b8e436f84df816b02b7badd
- Document Type :
- article
- Full Text :
- https://doi.org/10.3390/math9060588