{"id":"https://openalex.org/W2606813737","doi":"https://doi.org/10.1137/16m1084730","title":"Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching","display_name":"Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W2606813737","doi":"https://doi.org/10.1137/16m1084730","mag":"2606813737"},"language":"en","primary_location":{"id":"doi:10.1137/16m1084730","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m1084730","pdf_url":null,"source":{"id":"https://openalex.org/S203348814","display_name":"SIAM Journal on Numerical Analysis","issn_l":"0036-1429","issn":["0036-1429","1095-7170"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Numerical Analysis","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5040313884","display_name":"Son Luu Nguyen","orcid":"https://orcid.org/0000-0002-6082-6686"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Son L. Nguyen","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101757963","display_name":"Tuan Anh Hoang","orcid":"https://orcid.org/0000-0002-7011-4789"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Tuan A. Hoang","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100690910","display_name":"Dung Tien Nguyen","orcid":"https://orcid.org/0000-0003-1312-817X"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Dung T. Nguyen","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5008853967","display_name":"George Yin","orcid":"https://orcid.org/0000-0002-2951-0704"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"George Yin","raw_affiliation_strings":[],"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5040313884"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.3974,"has_fulltext":false,"cited_by_count":29,"citation_normalized_percentile":{"value":0.92395045,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"55","issue":"2","first_page":"953","last_page":"979"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9821000099182129,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7684872150421143},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.7407274842262268},{"id":"https://openalex.org/keywords/martingale","display_name":"Martingale (probability theory)","score":0.6704546809196472},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.5572359561920166},{"id":"https://openalex.org/keywords/rate-of-convergence","display_name":"Rate of convergence","score":0.53521728515625},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5240716934204102},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.5131714940071106},{"id":"https://openalex.org/keywords/stochastic-partial-differential-equation","display_name":"Stochastic partial differential equation","score":0.49820542335510254},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.4679849147796631},{"id":"https://openalex.org/keywords/differential-equation","display_name":"Differential equation","score":0.4305969476699829},{"id":"https://openalex.org/keywords/numerical-analysis","display_name":"Numerical analysis","score":0.4179506301879883},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.23924708366394043},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.18566644191741943}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7684872150421143},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.7407274842262268},{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.6704546809196472},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.5572359561920166},{"id":"https://openalex.org/C57869625","wikidata":"https://www.wikidata.org/wiki/Q1783502","display_name":"Rate of convergence","level":3,"score":0.53521728515625},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5240716934204102},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.5131714940071106},{"id":"https://openalex.org/C84629840","wikidata":"https://www.wikidata.org/wiki/Q16979017","display_name":"Stochastic partial differential equation","level":3,"score":0.49820542335510254},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.4679849147796631},{"id":"https://openalex.org/C78045399","wikidata":"https://www.wikidata.org/wiki/Q11214","display_name":"Differential equation","level":2,"score":0.4305969476699829},{"id":"https://openalex.org/C48753275","wikidata":"https://www.wikidata.org/wiki/Q11216","display_name":"Numerical analysis","level":2,"score":0.4179506301879883},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.23924708366394043},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.18566644191741943},{"id":"https://openalex.org/C31258907","wikidata":"https://www.wikidata.org/wiki/Q1301371","display_name":"Computer network","level":1,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0},{"id":"https://openalex.org/C127162648","wikidata":"https://www.wikidata.org/wiki/Q16858953","display_name":"Channel (broadcasting)","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/16m1084730","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m1084730","pdf_url":null,"source":{"id":"https://openalex.org/S203348814","display_name":"SIAM Journal on Numerical Analysis","issn_l":"0036-1429","issn":["0036-1429","1095-7170"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Numerical Analysis","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G4986991352","display_name":null,"funder_award_id":"101.03-2015.28","funder_id":"https://openalex.org/F4320309617","funder_display_name":"National Foundation for Science and Technology Development"},{"id":"https://openalex.org/G79349480","display_name":null,"funder_award_id":"W911NF-15-1-0218","funder_id":"https://openalex.org/F4320338281","funder_display_name":"Army Research Office"}],"funders":[{"id":"https://openalex.org/F4320308734","display_name":"Puerto Rico Sea Grant, University of Puerto Rico","ror":"https://ror.org/05t7fg049"},{"id":"https://openalex.org/F4320309617","display_name":"National Foundation for Science and Technology Development","ror":"https://ror.org/04rw64z44"},{"id":"https://openalex.org/F4320338281","display_name":"Army Research Office","ror":"https://ror.org/05epdh915"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":9,"referenced_works":["https://openalex.org/W847649018","https://openalex.org/W1972145423","https://openalex.org/W1973384366","https://openalex.org/W1978672152","https://openalex.org/W2027140414","https://openalex.org/W2047188539","https://openalex.org/W2048247854","https://openalex.org/W2090460594","https://openalex.org/W2130906647"],"related_works":["https://openalex.org/W177412878","https://openalex.org/W620239920","https://openalex.org/W203295161","https://openalex.org/W109055908","https://openalex.org/W4321845581","https://openalex.org/W2016859865","https://openalex.org/W2060658157","https://openalex.org/W2734530159","https://openalex.org/W1546584948","https://openalex.org/W2972896374"],"abstract_inverted_index":{"This":[0],"work":[1],"develops":[2],"numerical":[3,76,128],"schemes":[4],"for":[5,20,78],"stochastic":[6,23,79,85],"differential":[7,24,80,86],"equations":[8,81],"with":[9,34,136],"Markovian":[10,83,97],"switching":[11,55,84],"(switching":[12],"SDEs).":[13],"Inspired":[14],"by":[15],"the":[16,39,46,50,53,58,61,64,72,112,115,134,137],"well-known":[17],"Milstein":[18],"algorithms":[19,33,62,116],"solutions":[21,77],"of":[22,48,52,60,75,114,121],"equations,":[25,87],"our":[26],"effort":[27],"is":[28,100,106,117,123],"devoted":[29],"to":[30,45,71,132],"designing":[31],"approximation":[32],"faster":[35],"convergence":[36,113,122,139],"rates":[37],"than":[38],"commonly":[40],"used":[41],"Euler--Maruyama":[42],"procedures.":[43],"Compared":[44],"case":[47],"diffusion,":[49],"presence":[51],"random":[54],"component":[56],"makes":[57],"design":[59],"and":[63,82,96,103],"analysis":[65,105],"much":[66],"more":[67],"complex.":[68],"In":[69,126],"contrast":[70],"existing":[73],"literature":[74],"a":[88],"new":[89],"approach":[90],"incorporating":[91],"martingale":[92],"methods,":[93],"quadratic":[94],"variations,":[95],"stopping":[98],"times":[99],"developed.":[101],"Detailed":[102],"delicate":[104],"carried":[107],"out.":[108],"Under":[109],"suitable":[110],"conditions,":[111],"established.":[118],"The":[119],"rate":[120],"also":[124],"ascertained.":[125],"addition,":[127],"examples":[129],"are":[130],"provided":[131],"show":[133],"agreement":[135],"theoretical":[138],"order.":[140]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
