Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence

DOI10.1080/10236190412331314150zbMath1076.65012OpenAlexW2049860606MaRDI QIDQ4659931

Chenggui Yuan, Xuerong Mao

Publication date: 21 March 2005

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236190412331314150

zbMATH Keywords

convergenceEuler schemestochastic differential equations with Markovian switchingstochastic difference equation with Markov switching

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)

Related Items (16)

Approximation of invariant measures for regime-switching diffusions ⋮ Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations ⋮ The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching ⋮ Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons ⋮ Stationary in distributions of numerical solutions for stochastic partial differential equations with Markovian switching ⋮ Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations ⋮ Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence ⋮ Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model ⋮ Invariant probability measures for path-dependent random diffusions ⋮ Approximation of invariant measures of a class of backward Euler-Maruyama scheme for stochastic functional differential equations ⋮ Stability in distribution of neutral stochastic functional differential equations ⋮ Weak convergence of functional stochastic differential equations with variable delays ⋮ Stationary distribution of stochastic Markov jump coupled systems based on graph theory ⋮ Numerical stationary distribution and its convergence for nonlinear stochastic differential equations ⋮ Approximation of invariant measure for a stochastic population model with Markov chain and diffusion in a polluted environment ⋮ The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching

Cites Work

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• Stability of stochastic differential equations with Markovian switching
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• Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
• Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
• On the boundedness, recurrence and stability of solutions of on ito equation perturbed by a Markov chain
• Stochastic stability properties of jump linear systems
• Parametrized riccati equations for controlled linear differential systems with jump Markov perturbations
• Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process
• Stability and robust stabilization to linear stochastic systems described by differential equations with markovian jumping and multiplicative white noise
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Stabilization of jump linear gaussian systems without mode observations

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