Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9509887 | Journal of Computational and Applied Mathematics | 2005 | 27 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Xuerong Mao, Chenggui Yuan, G. Yin,