Journal article 1217 views 97 downloads
Invariant Measures for Path-Dependent Random Diffusions
Jianhai Bao,
Jinghai Shao,
Chenggui Yuan 
ArXiv: 1706.05638
Swansea University Author:
Chenggui Yuan
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Abstract
In this paper, we investigate the existence and uniqueness of invariant measure of stochastic functional differential equations with Markovian switching. Under an average condition, we prove that there is a unique measure for the exact solutions and the corresponding Euler numerical solutions. Moreo...
| Published in: | ArXiv: 1706.05638 |
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| Published: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa36619 |
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| Abstract: |
In this paper, we investigate the existence and uniqueness of invariant measure of stochastic functional differential equations with Markovian switching. Under an average condition, we prove that there is a unique measure for the exact solutions and the corresponding Euler numerical solutions. Moreover, the invariant measure of the Euler numerical solutions will converge to that of the exact solutions as the step size tends to zero. |
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| Keywords: |
Invariant measure; Path-dependent random diffusion; Ergodicity; Wasserstein distance; Euler-Maruyama scheme |
| College: |
Faculty of Science and Engineering |