Convergence of the Euler-Maruyama method for CIR model with Markovian switching.
Zhenzhong ZhangTiandao ZhouXinghu JinJinying TongPublished in: Math. Comput. Simul. (2020)
Keyphrases
- mathematical model
- probabilistic model
- statistical model
- theoretical analysis
- test data
- classification method
- objective function
- similarity measure
- computational model
- markov model
- hybrid method
- optimization method
- prediction model
- evaluation method
- network model
- prior knowledge
- gaussian distribution
- bp neural network
- closed form
- evaluation model
- linear model
- regression analysis
- cost function
- input data
- high order
- analytical model
- modeling method
- autoregressive
- detection method
- parameter estimation
- optimization model
- artificial neural networks
- em algorithm
- convergence rate
- parameter space
- sensitivity analysis
- clustering method
- recognition algorithm
- energy function
- monte carlo simulation
- linear regression
- hybrid model
- significant improvement
- prior information
- pairwise
- classification algorithm
- image sequences