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In this paper numerical methods for solving stochastic differential equations with Markovian switching (SDEwMSs) are developed by pathwise approximation.
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X. Mao and C. Yuan (2006). Stochastic Differencial Equations with Markovian Switching
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A. Jobert and L.C.G. Rogers (2006). Option pricing with Markov-modulated dynamics. SIAM J. Control Optim
2078
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