Stationary distribution of periodic stochastic differential equations with Markov switching
Cai, Yongmei and Li, Yuyuan and Mao, Xuerong (2024) Stationary distribution of periodic stochastic differential equations with Markov switching. Journal of Mathematical Analysis and Applications, 537 (2). 128291. ISSN 0022-247X (https://doi.org/10.1016/j.jmaa.2024.128291)
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Abstract
Periodic stochastic differential equations (SDEs) with Markov switching are widely applied to describe various financial and biological phenomena in the real world and hence have been receiving intensive attention. One of the essential dynamical behaviours researchers are interested in is the asymptotic stability in distribution. However, related work on periodic SDEs is quite little. This paper aims to fill the gap. Technical challenges including time-inhomogeneity and periodicity of SDEs make this a challenging and non-trivial work. The main results are finally demonstrated by an example. Our theory can be easily implemented to different application scenarios.
ORCID iDs
Cai, Yongmei, Li, Yuyuan and Mao, Xuerong ORCID: https://orcid.org/0000-0002-6768-9864;-
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Item type: Article ID code: 88415 Dates: DateEvent15 September 2024Published7 March 2024Published Online6 March 2024Accepted27 August 2023SubmittedSubjects: Science > Mathematics > Probabilities. Mathematical statistics Department: Faculty of Science > Mathematics and Statistics Depositing user: Pure Administrator Date deposited: 12 Mar 2024 12:55 Last modified: 15 Sep 2024 03:01 URI: https://strathprints.strath.ac.uk/id/eprint/88415