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

被引：44
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
收藏
页码：1 / 27
页数：27
相关论文
共 50 条
  • [31] Robust stability of a class of stochastic functional differential equations with Markovian switching
    Lichao Feng
    Shoumei Li
    Zhiyou Liu
    Shiqiu Zheng
    Advances in Difference Equations, 2016
  • [32] Exponential stability of neutral stochastic differential functional equations with Markovian switching
    Li, Xining
    Zhang, Qimin
    PROCEEDINGS OF 2009 INTERNATIONAL CONFERENCE ON MACHINE LEARNING AND CYBERNETICS, VOLS 1-6, 2009, : 377 - 381
  • [33] Stability in terms of two measures for stochastic differential equations with Markovian switching
    Yuan, CG
    STOCHASTIC ANALYSIS AND APPLICATIONS, 2005, 23 (06) : 1259 - 1276
  • [34] Exponential stability of neutral stochastic delay differential equations with Markovian switching
    Xu, Yan
    He, Zhimin
    APPLIED MATHEMATICS LETTERS, 2016, 52 : 64 - 73
  • [35] Robust stability of a class of stochastic functional differential equations with Markovian switching
    Feng, Lichao
    Li, Shoumei
    Liu, Zhiyou
    Zheng, Shiqiu
    ADVANCES IN DIFFERENCE EQUATIONS, 2016,
  • [36] Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching
    Xu, Liping
    Li, Zhi
    Liu, Weiguo
    Zhou, Jie
    AIMS MATHEMATICS, 2021, 6 (03): : 2874 - 2885
  • [37] A note on almost sure asymptotic stability of neutral stochastic delay differential equations with Markovian switching
    Li, Xiaoyue
    Mao, Xuerong
    AUTOMATICA, 2012, 48 (09) : 2329 - 2334
  • [38] NUMERICAL APPROXIMATION OF STATIONARY DISTRIBUTIONS FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
    Bao, Jianhai
    Yuan, Chenggui
    JOURNAL OF APPLIED PROBABILITY, 2014, 51 (03) : 858 - 873
  • [39] The LaSalle-type theorem for stochastic differential delay equations with Markovian switching
    Shen, Y
    Jiang, MH
    Liao, XX
    DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES A-MATHEMATICAL ANALYSIS, 2006, 13 : 1254 - 1262
  • [40] A graph-theoretic method to the existence of stationary distribution of stochastic multi-layer networks with Markovian switching
    Li, Ran
    Zhang, Chunmei
    Yang, Hui
    Chen, Huiling
    COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, 2024, 136
12345