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

DOI10.1016/J.CAM.2004.03.016zbMATH Open1066.65016OpenAlexW2105331016MaRDI QIDQ1765451FDOQ1765451

Authors: Xuerong Mao, Chenggui Yuan, G. Yin 

Publication date: 23 February 2005

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2004.03.016

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zbMATH Keywords

stochastic differential equationBrownian motionEuler schemenumerical simulationLipschitz conditionMarkov switchingstationary densityWeak convergenceStationary distributionEuler-Maruyama methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (42)

• Variable-step Euler-Maruyama approximations of regime-switching jump diffusion processes
• Stationary distribution of stochastic Markov jump coupled systems based on graph theory
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence
• Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
• Dynamics of a stochastic phytoplankton-toxin phytoplankton-zooplankton model
• Invariant measures of the Milstein method for stochastic differential equations with commutative noise
• On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions
• Convergence of numerical solutions to stochastic differential equations with Markovian switching
• Existence and uniqueness of stochastic differential equations with random impulses and Markovian switching under non-Lipschitz conditions
• Approximation of invariant measures for regime-switching diffusions
• Stationary distribution of stochastic multi-group models with dispersal and telegraph noise
• Stability of nonlinear neutral stochastic functional differential equations
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• Graph-theoretical method to the existence of stationary distribution of stochastic coupled systems
• Particle filter for state estimation of jump Markov nonlinear system with application to multi-targets tracking
• Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
• Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations
• Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
• Numerical simulations based on POD for stochastic age-dependent system of two species
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
• A Markov chain approximation of switched Fokker-Planck equations for a model of on-off intermittency in the postural control during quiet standing
• Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
• The stationary distribution and ergodicity of a stochastic phytoplankton-zooplankton model with toxin-producing phytoplankton under regime switching
• The stationary distribution and ergodicity of a stochastic phytoplankton allelopathy model under regime switching
• Stationary distribution for stochastic coupled systems with regime switching and feedback control
• Stability in distribution of neutral stochastic functional differential equations
• Synchronized stationary distribution for stochastic multi-links systems with Markov jump
• Numerical solution to a system of differential equations for probability measures
• Stationary distribution of periodic stochastic differential equations with Markov switching
• The explicit expression of non-trivial stationary distribution of SDEs under regime switching
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• Asymptotic behavior analysis for a three-species food chain stochastic model with regime switching
• Adams predictor-corrector method for solving uncertain differential equation
• Stationary in distributions of numerical solutions for stochastic partial differential equations with Markovian switching
• Weak convergence of functional stochastic differential equations with variable delays
• Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes
• Collaboration and friendship with George Yin
• The numerical invariant measure of stochastic differential equations with Markovian switching
• Uncertainty quantification analysis of the biological Gompertz model subject to random fluctuations in all its parameters
• Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching
• Dynamics of a stochastic SIRS epidemic model with regime switching and specific functional response

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