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The rate of Lp-convergence for the Euler-Maruyama method of the stochastic differential equations with Markovian switching.

Minghui SongYuhang ZhangMingzhu Liu
Published in: CoRR (2022)
Keyphrases
  • objective function
  • pairwise
  • cost function
  • dynamic programming
  • closed form
  • stochastic differential equations
  • optimal solution
  • mathematical model