Numerical method for stationary distribution of stochastic differential equations with Markovian switching

被引：43

作者：

Mao, XR

Yuan, CG

Yin, G

机构：

[1] Univ Strathclyde, Dept Stat & Modelling Sci, Glasgow G1 1XH, Lanark, Scotland

[2] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2005年 / 174卷 / 01期

基金：

美国国家科学基金会;

关键词：

Brownian motion; Stationary distribution; Lipschitz condition; Markov chain; stochastic differential equations; Euler-Maruyama methods; weak convergence to stationary measures;

D O I：

10.1016/j.cam.2004.03.016

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In principle, once the existence of the stationary distribution of a stochastic differential equation with Markovian switching is assured, we may compute it by solving the associated system of the coupled Kolmogorov-Fokker-Planck equations. However, this is nontrivial in practice. As a viable alternative, we use the Euler-Maruyama scheme to obtain the stationary distribution in this paper. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：1 / 27

页数：27

共 50 条

[1] The stochastic θ method for stationary distribution of stochastic differential equations with Markovian switching
Jiang, Yanan
Hu, Liangjian
Lu, Jianqiu
ADVANCES IN DIFFERENCE EQUATIONS, 2020, 2020 (01)
[2] The stochastic θ method for stationary distribution of stochastic differential equations with Markovian switching
Yanan Jiang
Liangjian Hu
Jianqiu Lu
Advances in Difference Equations, 2020
[3] Stationary in Distributions of Numerical Solutions for Stochastic Partial Differential Equations with Markovian Switching
Shen, Yi
Li, Yan
ABSTRACT AND APPLIED ANALYSIS, 2013,
[4] Approximations of Numerical Method for Neutral Stochastic Functional Differential Equations with Markovian Switching
Yang, Hua
Jiang, Feng
JOURNAL OF APPLIED MATHEMATICS, 2012,
[5] THE NUMERICAL INVARIANT MEASURE OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH MARKOVIAN SWITCHING
Li, Xiaoyue
Ma, Qianlin
Yang, Hongfu
Yuan, Chenggui
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2018, 56 (03) : 1435 - 1455
[6] Convergence of numerical solutions to stochastic differential equations with Markovian switching
Fan, Zhencheng
APPLIED MATHEMATICS AND COMPUTATION, 2017, 315 : 176 - 187
[7] Stability in distribution of stochastic differential delay equations with Markovian switching
Yuan, CG
Zou, JZ
Mao, XR
SYSTEMS & CONTROL LETTERS, 2003, 50 (03) : 195 - 207
[8] On stability in distribution of stochastic differential delay equations with Markovian switching
Nguyen Huu Du
Nguyen Hai Dang
Nguyen Thanh Dieu
SYSTEMS & CONTROL LETTERS, 2014, 65 : 43 - 49
[9] Asymptotic stability in distribution of stochastic differential equations with Markovian switching
Yuan, CG
Mao, XR
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2003, 103 (02) : 277 - 291
[10] Numerical solutions of neutral stochastic functional differential equations with Markovian switching
Yuru Hu
Huabin Chen
Chenggui Yuan
Advances in Difference Equations, 2019

← 1 2 3 4 5 →