Mao, X. and Yuan, C. and Yin, G. (2005) Numerical method for stationary distribution of stochastic differential equations with Markovian switching. Journal of Computational and Applied Mathematics, 174 (1). pp. 1-27. ISSN 0377-0427
Full text not available in this repository. (Request a copy from the Strathclyde author)Official URL: http://dx.doi.org/10.1016/j.cam.2004.03.016
Abstract
In principle, once the existence of the stationary distribution of a stochastic differential equation with Markovian switching is assured, we may compute it by solving the associated system of the coupled Kolmogorov-Fokker-Planck equations. However, this is nontrivial in practice. As a viable alternative, we use the Euler-Maruyama scheme to obtain the stationary distribution in this paper.
| Item type: | Article |
|---|---|
| ID code: | 4589 |
| Keywords: | Brownian motion, stationary distribution, Lipschitz condition, Markov chain, stochastic differential equations, Euler-Maruyama methods, weak convergence to stationary measures, Probabilities. Mathematical statistics |
| Subjects: | Science > Mathematics > Probabilities. Mathematical statistics |
| Department: | Faculty of Science > Mathematics and Statistics |
| Related URLs: | |
| Depositing user: | Strathprints Administrator |
| Date Deposited: | 05 Nov 2007 |
| Last modified: | 12 Mar 2012 10:41 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/4589 |
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