Journal article 1586 views
Approximation of Invariant Measures for Regime-switching Diffusions
Potential Analysis, Volume: 44, Issue: 4, Pages: 707 - 727
Swansea University Authors:
Jianhai Bao, Chenggui Yuan
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DOI (Published version): 10.1007/s11118-015-9526-x
Abstract
In this paper, we studied invariant measure of numerical solution of regime-switching diffusion. Under an average condition, we obtain the existence and uniqueness of invariant measure of numerical solution of regime-switching diffusion. Moreover, we showed that the invariant measure of numerical so...
| Published in: | Potential Analysis |
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| ISSN: | 0926-2601 1572-929X |
| Published: |
2016
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa28639 |
| Abstract: |
In this paper, we studied invariant measure of numerical solution of regime-switching diffusion. Under an average condition, we obtain the existence and uniqueness of invariant measure of numerical solution of regime-switching diffusion. Moreover, we showed that the invariant measure of numerical solution of regime-switching diffusion converges to that of the corresponding true solution as the step size tends to zero. |
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| Keywords: |
Regime-switching diffusion · Invariant measure · Euler-maruyama scheme · Perron-frobenius theorem · Principal eigenvalue · M-matrix |
| College: |
Faculty of Science and Engineering |
| Issue: |
4 |
| Start Page: |
707 |
| End Page: |
727 |