Numerical method for stationary distribution of stochastic differential equations with Markovian switching

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 (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.

ORCID iDs

Mao, X. ORCID: https://orcid.org/0000-0002-6768-9864

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• Item metadata

  Item type:	Article
  ID code:	4589
  Dates:	Date Event February 2005 Published
  Subjects:	Science > Mathematics > Probabilities. Mathematical statistics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Strathprints Administrator
  Date deposited:	05 Nov 2007
  Last modified:	15 Nov 2024 02:01
  URI:	https://strathprints.strath.ac.uk/id/eprint/4589