Approximation of invariant measures for regime-switching diffusions

DOI10.1007/s11118-015-9526-xzbMath1342.60087arXiv1409.6445OpenAlexW1652550616MaRDI QIDQ283436

Jianhai Bao, Chenggui Yuan, Jing Hai 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

stochastic differential equationsinvariant measuresprincipal eigenvalueM-matrixcontinuous-time Markov chainPerron-Frobenius theoremregime-switching diffusionsEuler-Maruyama scheme

Mathematics Subject Classification ID

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

Related Items (24)

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