Numerical method for stationary distribution of stochastic differential equations with Markovian switching (Q1765451): Difference between revisions
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Revision as of 18:42, 21 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical method for stationary distribution of stochastic differential equations with Markovian switching |
scientific article |
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Numerical method for stationary distribution of stochastic differential equations with Markovian switching (English)
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23 February 2005
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The paper consider the numerical simulation of stochastic differential equations with Markov switching. The Euler scheme is used to obtain the stationary distribution.
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stochastic differential equation
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Markov switching
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numerical simulation
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Euler scheme
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stationary density
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Brownian motion
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Stationary distribution
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Lipschitz condition
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Euler-Maruyama methods
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Weak convergence
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