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فروشنده :
طرفداری
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- کد فایل : 14449
- فرمت فایل دانلودی : .pdf
- تعداد مشاهده : 15.7k
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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.