Abstract
AbstractIn 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.
Funder
Fundamental Research Funds for the Central Universities
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Algebra and Number Theory,Analysis
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