Convergence of the Euler-Maruyama method for CIR model with Markovian switching

摘要

In this paper, we focus on the convergence of stochastic differential equations with Markovian switching and l/2-Hoelder continuous diffusion coefficients. We give the convergence between numerical solutions and explicit solutions at a rate of 1/log n by the Euler-Maruyama method. Parameter estimations for CIR model with Markovian switching are obtained by the quadratic variation method and composite likelihood method.