Um Método de Segunda Ordem Fraca para Equações Diferenciais Estocásticas com Saltos Markovianos
Resumen
Soluções de Equações Diferenciais Estocásticas Hibridas (EDEH) são muito empregadas paramodelar sistemas compostos por duas partes, uma tomando valores que variam de forma contínua e outra tomando valores em um conjunto discreto. [...]Descargas
Citas
Anderson, D. F., and Mattingly, J. C.A weak trapezoidal method for a class of stochastic differentialequations.Communications in Mathematical Sciences 9, 1 (2011), 301–318.[2]Higham., D.An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations.SIAMReview 43, 3 (2001), 525–546.[3]Nguyen, S., Hoang, T., Nguyen, D., and Yin, G.Milstein-Type Procedures for Numerical Solutions ofStochastic Differential Equations with Markovian Switching.SIAM Journal on Numerical Analysis 55, 2 (2017),953–979.[4]Nguyen, S. L., and Yin, G.Pathwise convergence rates for numerical solutions of Markovian switching sto-chastic differential equations.Nonlinear Analysis: Real World Applications 13, 3 (2012), 1170–1185.[5]Yin, G., Mao, X., Yuan, C., and Cao, D.Approximation Methods for Hybrid Diffusion Systems with State-Dependent Switching Processes: Numerical Algorithms and Existence and Uniqueness of Solutions.SIAMJournal on Mathematical Analysis 41, 6 (2010), 2335–2352.[6]Yuan, C., and Mao, X.Convergence of the Euler–Maruyama method for stochastic differential equations withMarkovian switching.Mathematics and Computers in Simulation 64, 2 (2004), 223–235.[7]Zhang, Q.Stock Trading: An Optimal Selling Rule.SIAM Journal on Control and Optimization 40, 1 (2001),64–87.
