2 papers
math.OC2014
Stability of Numerical Methods for Jump Diffusions and Markovian Switching Jump Diffusions
Zhixin Yang, G. Yin, Haibo Li
This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptoti…
math.NA2011
Strong Predictor-Corrector Euler-Maruyama Methods for Stochastic Differential Equations with Markovian Switching
Jun Ye, Haibo Li, Lili Xiao
In this paper numerical methods for solving stochastic differential equations with Markovian switching (SDEwMSs) are developed by pathwise approximation. The proposed family of str…