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

DOI10.1016/j.cam.2004.03.016zbMath1066.65016OpenAlexW2105331016MaRDI QIDQ1765451

Xuerong Mao, Chenggui Yuan, G. George Yin

Publication date: 23 February 2005

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2004.03.016

zbMATH Keywords

stochastic differential equationBrownian motionnumerical simulationMarkov switchingWeak convergencestationary densityLipschitz conditionEuler schemeStationary distributionEuler-Maruyama methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• A survey of numerical methods for stochastic differential equations
• Necessary and sufficient condition for robust stability and stabilizability of continuous-time linear systems with Markovian jumps
• Stability of stochastic differential equations with Markovian switching
• Stability of a random diffusion with linear drift
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• Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
• Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
• On the boundedness, recurrence and stability of solutions of on ito equation perturbed by a Markov chain
• Stochastic stability properties of jump linear systems
• Parametrized riccati equations for controlled linear differential systems with jump Markov perturbations
• Weak Convergence of Hybrid Filtering Problems Involving Nearly Completely Decomposable Hidden Markov Chains
• Stability and robust stabilization to linear stochastic systems described by differential equations with markovian jumping and multiplicative white noise
• Stabilization of jump linear gaussian systems without mode observations
• Some remarks on the duality of continuous time markov chains
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