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math.PR2022
On Itô-Taylor expansion for stochastic differential equations with Markovian switching and its application in -order scheme
Tejinder Kumar, Chaman Kumar
The coefficients of the stochastic differential equations with Markovian switching (SDEwMS) additionally depend on a Markov chain and there is no notion of differentiating such fun…
math.PR2022★ 1 cited
An explicit Milstein-type scheme for interacting particle systems and McKean--Vlasov SDEs with common noise and non-differentiable drift coefficients
Sani Biswas, Chaman Kumar, Neelima +2
We propose an explicit drift-randomised Milstein scheme for both McKean--Vlasov stochastic differential equations and associated high-dimensional interacting particle systems with…