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.