Residential College | false |
Status | 已發表Published |
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 Publication | MATHEMATICS AND COMPUTERS IN SIMULATION |
ISSN | 0378-4754 |
Volume | 177Pages: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. |
Keyword | Hölder Continuous Markovian Switching Parameter Estimation Quadratic Variation Rate Of Convergence |
DOI | 10.1016/j.matcom.2020.04.013 |
URL | View the original |
Indexed By | SCIE ; SSCI |
Language | 英語English |
WOS Research Area | Computer Science ; Mathematics |
WOS Subject | Computer Science, Interdisciplinary Applications ; Computer Science, Software Engineering ; Mathematics, Applied |
WOS ID | WOS:000540455100012 |
Publisher | ELSEVIER, RADARWEG 29, 1043 NX AMSTERDAM, NETHERLANDS |
Scopus ID | 2-s2.0-85084190670 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | Faculty of Science and Technology DEPARTMENT OF MATHEMATICS |
Corresponding Author | Zhang, Zhenzhong; Tong, Jinying |
Affiliation | 1.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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