The numerical invariant measure of stochastic differential equations with Markovian switching

DOI10.1137/17M1143927zbMATH Open1388.60098arXiv1804.02128OpenAlexW2963801645WikidataQ129780955 ScholiaQ129780955MaRDI QIDQ5745075FDOQ5745075

Hongfu Yang, Xiaoyue Li, Chenggui Yuan, Qianlin Ma

Publication date: 5 June 2018

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Abstract: The existence and uniqueness of the numerical invariant measure of the backward Euler-Maruyama method for stochastic differential equations with Markovian switching is yielded, and it is revealed that the numerical invariant measure converges to the underlying invariant measure in the Wasserstein metric. Under the polynomial growth condition of drift term the convergence rate is estimated. The global Lipschitz condition on the drift coefficients required by Bao et al., 2016 and Yuan et al., 2005 is released. Several examples and numerical experiments are given to verify our theory.

Full work available at URL: https://arxiv.org/abs/1804.02128

Recommendations

• Approximation of invariant measures for regime-switching diffusions
• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
• Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching

zbMATH Keywords

Wasserstein metricbackward Euler-Maruyama methodMarkovian switchingnumerical invariant measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Cites Work

• Title not available (Why is that?)
• Hybrid switching diffusions. Properties and applications
• Title not available (Why is that?)
• Stochastic differential equations and applications.
• Stochastic Differential Equations with Markovian Switching
• Stability of Markovian processes II: continuous-time processes and sampled chains
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Stability of Markovian processes I: criteria for discrete-time Chains
• The Kolmogorov-Smirnov Test for Goodness of Fit
• Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Asymptotic Properties of Hybrid Diffusion Systems
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
• Some remarks and examples concerning the transience and recurrence of random diffusions
• Numerical method for stationary distribution of stochastic differential equations with Markovian switching
• Strong ergodicity of the regime-switching diffusion processes
• Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations
• Ergodicity of regime-switching diffusions in Wasserstein distances
• Approximation of invariant measures for regime-switching diffusions
• Long time behavior of diffusions with Markov switching
• Title not available (Why is that?)
• Invariant densities for dynamical systems with random switching
• Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Mixing properties of harris chains and autoregressive processes
• Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
• A Perturbation Theory for Ergodic Markov Chains and Application to Numerical Approximations
• Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
• Title not available (Why is that?)
• Title not available (Why is that?)
• Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
• The moment exponential stability criterion of nonlinear hybrid stochastic differential equations and its discrete approximations

Cited In (23)

• Explicit approximation of invariant measure for stochastic delay differential equations with the nonlinear diffusion term
• Variable-step Euler-Maruyama approximations of regime-switching jump diffusion processes
• Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
• Approximation of the invariant measure of stable SDEs by an Euler-Maruyama scheme
• The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients
• Ergodicity and approximations of invariant measures for stochastic lattice systems with Markovian switching
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• Stability in distribution and stabilization of switching jump diffusions
• Invariant measures of the Milstein method for stochastic differential equations with commutative noise
• Invariant probability measures for path-dependent random diffusions
• Continuous stage stochastic Runge-Kutta methods
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
• Stochastic generalized Kolmogorov systems with small diffusion. I: Explicit approximations for invariant probability density function
• Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise
• Convergence and Approximation of Invariant Measures for Neural Field Lattice Models under Noise Perturbation
• Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
• Strong convergence and extinction of positivity preserving explicit scheme for the stochastic SIS epidemic model
• Incorporating two coupling noises into a nonlinear competitive system with saturation effect
• Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence
• Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
• Asymptotic properties of stochastic nutrient-plankton food chain models with nutrient recycling
• Approximation of invariant measures of a class of backward Euler-Maruyama scheme for stochastic functional differential equations
• On exponential contraction and expansion of Markovian switching diffusions

This page was built for publication: The numerical invariant measure of stochastic differential equations with Markovian switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5745075)