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Convergence of the Euler–Maruyama method for CIR model with Markovian switching
Zhang, Zhenzhong1; Zhou, Tiandao1; Jin, Xinghu1,2; Tong, Jinying1
2020-11-01
Source PublicationMATHEMATICS AND COMPUTERS IN SIMULATION
ISSN0378-4754
Volume177Pages:192-210
Abstract

In this paper, we focus on the convergence of stochastic differential equations with Markovian switching and 1∕2-Hölder continuous diffusion coefficients. We give the convergence between numerical solutions and explicit solutions at a rate of 1∕logn by the Euler–Maruyama method. Parameter estimations for CIR model with Markovian switching are obtained by the quadratic variation method and composite likelihood method.

KeywordHölder Continuous Markovian Switching Parameter Estimation Quadratic Variation Rate Of Convergence
DOI10.1016/j.matcom.2020.04.013
URLView the original
Indexed BySCIE ; SSCI
Language英語English
WOS Research AreaComputer Science ; Mathematics
WOS SubjectComputer Science, Interdisciplinary Applications ; Computer Science, Software Engineering ; Mathematics, Applied
WOS IDWOS:000540455100012
PublisherELSEVIER, RADARWEG 29, 1043 NX AMSTERDAM, NETHERLANDS
Scopus ID2-s2.0-85084190670
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Citation statistics
Document TypeJournal article
CollectionFaculty of Science and Technology
DEPARTMENT OF MATHEMATICS
Corresponding AuthorZhang, Zhenzhong; Tong, Jinying
Affiliation1.College of Science, Donghua University, Shanghai, 201620, China
2.Department of Applied Mathematics, University of Macau, Macau, 999078, China
Recommended Citation
GB/T 7714
Zhang, Zhenzhong,Zhou, Tiandao,Jin, Xinghu,et al. Convergence of the Euler–Maruyama method for CIR model with Markovian switching[J]. MATHEMATICS AND COMPUTERS IN SIMULATION, 2020, 177, 192-210.
APA Zhang, Zhenzhong., Zhou, Tiandao., Jin, Xinghu., & Tong, Jinying (2020). Convergence of the Euler–Maruyama method for CIR model with Markovian switching. MATHEMATICS AND COMPUTERS IN SIMULATION, 177, 192-210.
MLA Zhang, Zhenzhong,et al."Convergence of the Euler–Maruyama method for CIR model with Markovian switching".MATHEMATICS AND COMPUTERS IN SIMULATION 177(2020):192-210.
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