Abstract In this paper, we focus on the convergence of stochastic differential equations with Markovian switching and 1 ∕ 2 -Holder 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.

中文翻译：

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具有马尔可夫转换的 CIR 模型的 Euler-Maruyama 方法的收敛性

摘要 在本文中，我们关注具有马尔可夫切换和 1 ∕ 2 -Holder 连续扩散系数的随机微分方程的收敛性。我们通过 Euler-Maruyama 方法以 1 ∕ log n 的速率给出数值解和显式解之间的收敛性。马尔可夫切换CIR模型的参数估计是通过二次变异法和复合似然法得到的。