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,...

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Bibliographic Details
Main Authors: Yanan Jiang, Liangjian Hu, Jianqiu Lu
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
Description
Summary: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, the convergence of numerical stationary distribution to the underlying one is discussed. Numerical simulations are conducted to support the theoretical results.
ISSN:1687-1847