Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching

DOI10.1016/j.spa.2015.02.013zbMath1321.65014OpenAlexW2005110305MaRDI QIDQ2347459

Hongwei Mei, George Yin

Publication date: 27 May 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2015.02.013

zbMATH Keywords

convergence ratesstochastic differential equationsinvariant measurelaw of iterated logarithmrecursive algorithmswitching diffusionergodic means

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications ⋮ Discretization of the ergodic functional central limit theorem ⋮ Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence ⋮ Stochastic systems arising from Markov modulated empirical measures ⋮ Unnamed Item ⋮ Tamed-Euler method for hybrid stochastic differential equations with Markovian switching ⋮ Recursive computation of invariant distributions of Feller processes

Cites Work

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• Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
• Strong invariance for switching diffusions
• Stochastic Differential Equations with Markovian Switching
• Characterization Theorems for Certain Stochastic Processes

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