| Autor: |
Kumar, Chaman, Kumar, Tejinder |
| Rok vydání: |
2019 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
An explicit Milstein-type scheme for stochastic differential equation with Markovian switching is derived and its strong convergence in $\mathcal{L}^2$-sense is established without using It\^o-Taylor expansion formula. Rate of strong convergence is shown to be equal to $1.0$ under the assumptions that coefficients satisfy mild regularity conditions. More precisely, coefficients are assumed to be only once differentiable which are more relaxed conditions than those made in existing literature. |
| Databáze: |
arXiv |
| Externí odkaz: |
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