Approximation of invariant measures for regime-switching diffusions (Q283436): Difference between revisions

A regime-switching diffusion process is a stochastic differential equation of the form \[ dX_t = b(X_t, \Lambda_t)\,dt + \sigma(X_t, \Lambda_t)\,dW_t \] where \(W_t\) is a Brownian motion and \(\Lambda_t\) is a continuous-time Markov chain on a finite space whose evolution is autonomous. This work studies the long-time behavior of the Euler-Maruyama scheme associated with such a diffusion. The EM scheme is an explicit time-discretization of the process which used for numerical approximation. The authors give sufficient conditions for the existence and uniqueness of an invariant measure for the numerical scheme, as well as for the convergence of such an invariant measure to the invariant measure of the SDE as the time-step goes to zero.