Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
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Publication:5374436
DOI10.1137/18M116678XzbMath1409.60123arXiv1710.09168OpenAlexW2963667229MaRDI QIDQ5374436
Publication date: 14 September 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.09168
Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (14)
Stationary distribution of stochastic population dynamics in state-dependent random environments ⋮ Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme ⋮ Exponential ergodicity for regime-switching diffusion processes in total variation norm ⋮ Ergodicity of Regime-Switching Functional Diffusions with Infinite Delay and Application to a Numerical Algorithm for Stochastic Optimization ⋮ Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes ⋮ Ergodicity and stability of hybrid systems with piecewise constant type state-dependent switching ⋮ Least squares estimators for stochastic differential equations with Markovian switching ⋮ Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations II: State-Dependent Case ⋮ Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values ⋮ Stability of regime-switching processes under perturbation of transition rate matrices ⋮ Convergence, boundedness, and ergodicity of regime-switching diffusion processes with infinite memory ⋮ Asymptotic behavior of SIRS models in state-dependent random environments ⋮ Stability of Fractional SDEs with Markov Switching Perturbed by Transition Rate Matrices ⋮ Harnack inequality and long time asymptotics of unbounded additive functionals of regime-switching diffusion processes
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