Convergence of the Euler–Maruyama method for stochastic differential equations with Markovian switching
Year of publication: |
2004
|
---|---|
Authors: | Yuan, Chenggui ; Mao, Xuerong |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 64.2004, 2, p. 223-235
|
Publisher: |
Elsevier |
Subject: | Brownian motion | Euler–Maruyama method | Lipschitz condition | Markov chain generator |
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