The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching (Q5745075): Difference between revisions

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scientific article; zbMATH DE number 6880692

Language	Label	Description	Also known as
English	The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching	scientific article; zbMATH DE number 6880692

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scholarly article

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The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching (English)

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SIAM Journal on Numerical Analysis

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publication date

5 June 2018

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full work available at URL

https://arxiv.org/abs/1804.02128

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zbMATH Keywords

backward Euler-Maruyama method

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Markovian switching

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numerical invariant measure

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Wasserstein metric

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MaRDI profile type

MaRDI publication profile

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Mixing properties of harris chains and autoregressive processes

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Invariant densities for dynamical systems with random switching

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Approximation of invariant measures for regime-switching diffusions

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Long time behavior of diffusions with Markov switching

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations

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Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Numerical stationary distribution and its convergence for nonlinear stochastic differential equations

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

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Stochastic Differential Equations with Markovian Switching

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Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations

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Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

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The Kolmogorov-Smirnov Test for Goodness of Fit

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Stability of Markovian processes I: criteria for discrete-time Chains

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Stability of Markovian processes II: continuous-time processes and sampled chains

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Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes

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Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

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Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations

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Some remarks and examples concerning the transience and recurrence of random diffusions

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Strong ergodicity of the regime-switching diffusion processes

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Ergodicity of regime-switching diffusions in Wasserstein distances

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A Perturbation Theory for Ergodic Markov Chains and Application to Numerical Approximations

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Asymptotic Properties of Hybrid Diffusion Systems

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Hybrid switching diffusions. Properties and applications

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Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence

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Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation

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The moment exponential stability criterion of nonlinear hybrid stochastic differential equations and its discrete approximations

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Identifiers

zbMATH Open document ID

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10.1137/17M1143927

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5745075

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