کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10527317 | 958817 | 2015 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
This work focuses on numerical algorithms for approximating the ergodic means for suitable functions of solutions to stochastic differential equations with Markov regime switching. Our main effort is devoted to obtaining the convergence and rates of convergence of the approximation algorithms. The study is carried out by obtaining laws of large numbers and laws of iterated logarithms for numerical approximation to long-run averages of suitable functions of solutions to switching diffusions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 8, August 2015, Pages 3104-3125
Journal: Stochastic Processes and their Applications - Volume 125, Issue 8, August 2015, Pages 3104-3125
نویسندگان
Hongwei Mei, George Yin,