کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9509887 1341419 2005 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Numerical method for stationary distribution of stochastic differential equations with Markovian switching
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Numerical method for stationary distribution of stochastic differential equations with Markovian switching
چکیده انگلیسی
In principle, once the existence of the stationary distribution of a stochastic differential equation with Markovian switching is assured, we may compute it by solving the associated system of the coupled Kolmogorov-Fokker-Planck equations. However, this is nontrivial in practice. As a viable alternative, we use the Euler-Maruyama scheme to obtain the stationary distribution in this paper.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 174, Issue 1, 1 February 2005, Pages 1-27
نویسندگان
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