Numerical approximation of invariant measures for hybrid diffusion systems

DOI10.1109/TAC.2005.851437MaRDI QIDQ5274099zbMATH OpenFDO

Authors Xuerong Mao, K. Yin, G. Yin

Publication date 12 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.2005.851437

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Stochastic systems in control theory (general) (93E03)

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Cited in

(6)

• Approximation of invariant measure for a stochastic population model with Markov chain and diffusion in a polluted environment
• Moment bounds and ergodicity of switching diffusion systems involving two-time-scale Markov chains
• Integrated communication and control systems with occasional information feedback
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• Well-posedness of stochastic multi-weighted complex networks with regime-switching diffusions
• Statistical inference for ergodic diffusion with Markovian switching

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