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The explicit expression of non-trivial stationary distribution of SDEs under regime switching. (English) Zbl 1446.60038

Summary: This paper mainly focuses on the stationary probability distribution of stochastic differential equations (SDEs) under regime switching. We give the explicit expression of stationary distribution according to the limit probability distribution of SDEs under some conditions. As a special case, we obtain the stationary distribution of SDEs with Markovian switching as the weighted mean of the stationary distribution of its subsystems. In the end, an example and some conclusions are given to illustrate our theoretical results of this paper.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60 Diffusion processes
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References:

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