The stochastic θ method for stationary distribution of stochastic differential equations with Markovian switching
Abstract In this paper, stationary distribution of stochastic differential equations (SDEs) with Markovian switching is approximated by numerical solutions generated by the stochastic θ method. We prove the existence and uniqueness of stationary distribution of the numerical solutions firstly. Then,...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2020-11-01
|
| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s13662-020-03129-3 |