Approximation of invariant measures for regime-switching diffusions

DOI10.1007/S11118-015-9526-XzbMATH Open1342.60087arXiv1409.6445OpenAlexW1652550616MaRDI QIDQ283436FDOQ283436

Authors: Jianhai Bao, Chenggui Yuan, Jinghai Shao 

Publication date: 13 May 2016

Published in: Potential Analysis (Search for Journal in Brave)

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.

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

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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)

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Cited In (30)

• Variable-step Euler-Maruyama approximations of regime-switching jump diffusion processes
• On invariant probability measures of regime-switching diffusion processes with singular drifts
• The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients
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