DOI: 10.3390/axioms13030190 ISSN: 2075-1680

New Simplified High-Order Schemes for Solving SDEs with Markovian Switching Driven by Pure Jumps

Yang Li, Yingmei Xu, Qianhai Xu, Yu Zhang
  • Geometry and Topology
  • Logic
  • Mathematical Physics
  • Algebra and Number Theory
  • Analysis

New high-order weak schemes are proposed and simplified to solve stochastic differential equations with Markovian switching driven by pure jumps (PJ-SDEwMs). Using Malliavin calculus theory, it is rigorously proven that the new numerical schemes can achieve a high-order convergence rate. Some numerical experiments are provided to show the efficiency and accuracy.

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