Numerical method for stationary distribution of stochastic differential equations with Markovian switching
type: Item
instance of: scholarly article
title: Numerical method for stationary distribution of stochastic differential equations with Markovian switching
zbMATH Open document ID: 1066.65016
author: Xuerong Mao
author: Chenggui Yuan
author: G. Yin
published in: Journal of Computational and Applied Mathematics
publication date: 2005-02-23T00:00:00Z
review text: The paper consider the numerical simulation of stochastic differential equations with Markov switching. The Euler scheme is used to obtain the stationary distribution.
reviewed by: Eckhard Platen
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 2137439
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: Markov switching
zbMATH Keywords: numerical simulation
zbMATH Keywords: Euler scheme
zbMATH Keywords: stationary density
zbMATH Keywords: Brownian motion
zbMATH Keywords: Stationary distribution
zbMATH Keywords: Lipschitz condition
zbMATH Keywords: Euler-Maruyama methods
zbMATH Keywords: Weak convergence
MaRDI profile type: Publication
full work available at URL: j.cam.2004.03.016
OpenAlex ID: W2105331016
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DOI: 10.1016/J.CAM.2004.03.016
description: scientific article; zbMATH DE number 2137439