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Approximation of Invariant Measures for Regime-switching Diffusions

Jianhai Bao, Jinghai Shao, Chenggui Yuan Orcid Logo

Potential Analysis, Volume: 44, Issue: 4, Pages: 707 - 727

Swansea University Authors: Jianhai Bao, Chenggui Yuan Orcid Logo

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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...

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Published in: Potential Analysis
ISSN: 0926-2601 1572-929X
Published: 2016
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URI: https://cronfa.swan.ac.uk/Record/cronfa28639
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first_indexed 2016-06-03T19:16:40Z
last_indexed 2018-09-13T18:29:57Z
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spelling 2018-09-13T16:02:04.8029687 v2 28639 2016-06-03 Approximation of Invariant Measures for Regime-switching Diffusions 2b38fd6b16f6dffbaaf54f57509ad22d Jianhai Bao Jianhai Bao true false 22b571d1cba717a58e526805bd9abea0 0000-0003-0486-5450 Chenggui Yuan Chenggui Yuan true false 2016-06-03 SMA 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. Journal Article Potential Analysis 44 4 707 727 0926-2601 1572-929X Regime-switching diffusion · Invariant measure · Euler-maruyama scheme · Perron-frobenius theorem · Principal eigenvalue · M-matrix 31 12 2016 2016-12-31 10.1007/s11118-015-9526-x COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2018-09-13T16:02:04.8029687 2016-06-03T16:10:35.0691384 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Jianhai Bao 1 Jinghai Shao 2 Chenggui Yuan 0000-0003-0486-5450 3
title Approximation of Invariant Measures for Regime-switching Diffusions
spellingShingle Approximation of Invariant Measures for Regime-switching Diffusions
Jianhai Bao
Chenggui Yuan
title_short Approximation of Invariant Measures for Regime-switching Diffusions
title_full Approximation of Invariant Measures for Regime-switching Diffusions
title_fullStr Approximation of Invariant Measures for Regime-switching Diffusions
title_full_unstemmed Approximation of Invariant Measures for Regime-switching Diffusions
title_sort Approximation of Invariant Measures for Regime-switching Diffusions
author_id_str_mv 2b38fd6b16f6dffbaaf54f57509ad22d
22b571d1cba717a58e526805bd9abea0
author_id_fullname_str_mv 2b38fd6b16f6dffbaaf54f57509ad22d_***_Jianhai Bao
22b571d1cba717a58e526805bd9abea0_***_Chenggui Yuan
author Jianhai Bao
Chenggui Yuan
author2 Jianhai Bao
Jinghai Shao
Chenggui Yuan
format Journal article
container_title Potential Analysis
container_volume 44
container_issue 4
container_start_page 707
publishDate 2016
institution Swansea University
issn 0926-2601
1572-929X
doi_str_mv 10.1007/s11118-015-9526-x
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
document_store_str 0
active_str 0
description 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.
published_date 2016-12-31T03:34:53Z
_version_ 1763751486459740160
score 11.013126

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