文章基本信息

标题：The stochastic θ method for stationary distribution of stochastic differential equations with Markovian switching
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作者：Yanan Jiang ; Liangjian Hu ; Jianqiu Lu 等
期刊名称：Advances in Difference Equations
印刷版ISSN：1687-1839
电子版ISSN：1687-1847
出版年度：2020
卷号：2020
期号：1
页码：1-25
DOI：10.1186/s13662-020-03129-3
出版社：Hindawi Publishing Corporation
摘要：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.
关键词：65C30 ; 60H10