Journal article 1183 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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URI: | https://cronfa.swan.ac.uk/Record/cronfa28639 |
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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 |
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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 |
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|
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facultyofscienceandengineering |
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Faculty of Science and Engineering |
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facultyofscienceandengineering |
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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 |
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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 |
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1763751486459740160 |
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11.021648 |