Approximation of invariant measures for regime-switching diffusions

DOI10.1007/S11118-015-9526-XMaRDI QIDQ283436zbMATH OpenOpenAlexFDO

Authors Jianhai Bao, Chenggui Yuan, Jinghai Shao

Publication date 13 May 2016

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.6445

zbMATH Keywords

continuous-time Markov chaininvariant measuresprincipal eigenvaluestochastic differential equationsM-matrixPerron-Frobenius theoremregime-switching diffusionsEuler-Maruyama scheme

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Continuous-time Markov processes on discrete state spaces (60J27) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In this paper, we are concerned with long-time behavior of Euler-Maruyama schemes associated with a range of regime-switching diffusion processes. The key contributions of this paper lie in that existence and uniqueness of numerical invariant measures are addressed (i) for regime-switching diffusion processes with finite state spaces by the Perron-Frobenius theorem if the "averaging condition" holds, and, for the case of reversible Markov chain, via the principal eigenvalue approach provided that the principal eigenvalue is positive; (ii) for regime-switching diffusion processes with countable state spaces by means of a finite partition method and an M-Matrix theory. We also reveal that numerical invariant measures converge in the Wasserstein metric to the underlying ones. Several examples are constructed to demonstrate our theory.

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• Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
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• On invariant probability measures of regime-switching diffusion processes with singular drifts
• Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes

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Cited in

(30)

• The numerical invariant measure of stochastic differential equations with Markovian switching
• On invariant probability measures of regime-switching diffusion processes with singular drifts
• Variable-step Euler-Maruyama approximations of regime-switching jump diffusion processes
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