Concepedia

Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching

Feng Jiang, Junhao Hu

Communications in Nonlinear Science and Numerical Simulation · 2010 · 24 citations · 16 references

DOI

Concepts

References

16

Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

Desmond J. Higham, Xuerong Mao, Andrew M. Stuart · SIAM Journal on Numerical Analysis · 2002 · 661 citations

, , +13

AMERICAN OPTIONS WITH REGIME SWITCHING

John Buffington, Robert J. Elliott · International Journal of Theoretical and Applied Finance · 2002 · 521 citations

, , +17

Mean-Square and Asymptotic Stability of the Stochastic Theta Method

SIAM Journal on Numerical Analysis · 2000 · 378 citations

, , +16

Closed-Form Solutions for Perpetual American Put Options with Regime Switching

Q. Zhang, Xin Guo · SIAM Journal on Applied Mathematics · 2004 · 242 citations

, , +14

Numerical methods for nonlinear stochastic differential equations with jumps

Desmond J. Higham, Peter E. Kloeden · Numerische Mathematik · 2005 · 238 citations

, , +12