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