Physical Sciences and Mathematics Commons^™

Switching Diffusion Systems With Past-Dependent Switching Having A Countable State Space, Hai Dang Nguyen

Wayne State University Dissertations

Emerging and existing applications in wireless communications, queueing networks, biological models, financial engineering, and social networks demand the

mathematical modeling and analysis of hybrid models in which continuous dynamics and discrete events coexist.

Assuming that the systems are in continuous times,

stemming from stochastic-differential-equation-based models and random discrete events,

switching diffusions come into being. In such systems, continuous states and discrete events

(discrete states)

coexist and interact.

A switching diffusion is a two-component process $(X(t),\alpha(t))$, a continuous component and a discrete component taking values in a discrete set (a set consisting of isolated points).

When the discrete component takes a …

Ergodicity Of Stochastic Switching Diffusions And Stochastic Delay Systems, Hongwei Mei

Wayne State University Dissertations

This dissertation contains two main parts. The first part focuses on numerical algorithms for approximating the ergodic means of 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.

The second part is devoted to stochastic functional differential equations (SFDEs) with infinite delay. This part consists of two main themes. First, …