The numerical invariant measure of stochastic differential equations with Markovian switching

DOI10.1137/17M1143927MaRDI QIDQ5745075zbMATH OpenOpenAlexWikidataFDO

Authors Xiaoyue Li, Qianlin Ma, Hongfu Yang, Chenggui Yuan

Publication date 5 June 2018

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

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

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)

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.

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Cited in

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