Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence
DOI10.1080/10236190412331314150zbMath1076.65012OpenAlexW2049860606MaRDI QIDQ4659931
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
convergenceEuler schemestochastic differential equations with Markovian switchingstochastic difference equation with Markov switching
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)
Cites Work
- Necessary and sufficient condition for robust stability and stabilizability of continuous-time linear systems with Markovian jumps
- Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
- Stability of stochastic differential equations with Markovian switching
- Stability of a random diffusion with linear drift
- Stochastic differential delay equations with Markovian switching
- Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
- 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
This page was built for publication: Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence