Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching

Son L. Nguyen, Tuan-Anh Hoang, Dung T. Nguyen, George Yin. Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching. SIAM J. Numerical Analysis, 55(2):953-979, 2017. [doi]

Abstract

Abstract is missing.