Milstein Scheme for Stochastic Differential Equation with Markovian Switching and Lévy Noise
Author:
Funder
National Board for Higher Mathematics
Publisher
Elsevier BV
Subject
Applied Mathematics,Analysis
Reference29 articles.
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4. T. A. Hoang, G. Yin and F. Xi (2014). Numerical solutions of regime-switching jump diffusions. Appl. Math. Comput., 244 822–835.
5. N. Hofmann, T. Müller-Gronbach, and K. Ritter (2000). Step size control for the uniform approximation of systems of stochastic differential equations with additive noise. Ann. Probab., 10(2) 616-633.
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