Variable-Step Euler–Maruyama Approximations of Regime-Switching Jump Diffusion Processes

Let X t , Z t t ≥ 0 be the regime-switching jump diffusion process with invariant measure μ . We aim to approximate μ using the Euler–Maruyama (EM) scheme with decreasing step sequence Γ = ( γ n ) n ∈ N . Under some appropriate dissipative conditions and uniform ellipticity assumptions on the coeffi...

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Veröffentlicht in:	Journal of theoretical probability 2024-06, Vol.37 (2), p.1597-1626
Hauptverfasser:	Chen, Peng, Jin, Xinghu, Shen, Tian, Su, Zhonggen
Format:	Artikel
Sprache:	eng
Schlagworte:	Differential equations Ellipticity Error analysis Invariants Mathematics Mathematics and Statistics Probability Theory and Stochastic Processes Statistics Switching
Online-Zugang:	Volltext
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