Ergodicity of Regime-Switching Functional Diffusions with Infinite Delay and Application to a Numerical Algorithm for Stochastic Optimization

DOI10.1137/22M1470050zbMath1497.60114MaRDI QIDQ5103922

Banban Shi, Fuke Wu, Ya Wang

Publication date: 9 September 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

stochastic optimizationstrong law of large numbersergodicityinvariant measureregime-switching functional diffusions with infinite delay

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20) Diffusion processes (60J60) Stochastic functional-differential equations (34K50)

Related Items (3)

Approximation of invariant measures of a class of backward Euler-Maruyama scheme for stochastic functional differential equations ⋮ Exponential ergodicity for stochastic functional differential equations with Markovian switching ⋮ Limit theorems of additive functionals for regime-switching diffusions with infinite delay

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