امروز چهارشنبه , 30 آبان 1403
پاسخگویی شبانه روز (حتی ایام تعطیل)
دانلود مقاله : Strong solutions of a class of hybrid diffusion processes with state-dependent regime-switching 2013
دانلود مقاله :
Strong solutions of a class of hybrid diffusion processes with state-dependent regime-switching 2013
نویسندگان :
A.Rathinasamya,BaojianYin
فرمت: pdf
چکیده :
Thisworkfocusesonthestrongsolutionsofaclassofhybriddiffusionprocesseswithstate-dependentregime-switching.Thisimportantclassofprocessesoriginatesfromthepurposeofmodelingtheinterestrateinfinance.Theyhavenoanyexplicitsolutions.Moreover,state-dependentregime-switchingandnon-Lipschitzdiffusioncoefficientposeachallengetoouranalysis.Toovercomeallofthese,weconsidertheEulernumericalschemesratherthanthetraditionalPicarditerationsintheexistingresultsofsolutionsofstochasticdifferentialequations.Theweakconvergenceofnumericalalgorithmsisfirstestablishedbyamartingaleproblemformulation.Usingthisresult,wecanalsoobtainthestrongconvergenceofthealgorithms.Theexistenceofstrongsolutionsisthenconfirmed.Inaddition,decreasingstepsizeiterativealgorithmsandtheirweakconvergencearepresented.Severalnumericalexperimentsarealsoprovidedforillustration.
