报告题目：Invariant measures and Euler-Maruyama's approximations of state-dependent regime-switching diffusions
报告人：邵井海 教授 天津大学应用数学中心
报告时间：3月21日 4:00-5:00
报告地点：1218
摘要：Regime-switching processes contain two components: continuous component and discrete component, which can be used to describe a continuous dynamical system in a random environment. Such processes have many different properties than general diffusion processes, and much more difficulties are needed to be overcome due to the intensive interaction between continuous and discrete component. We give conditions for the existence and uniqueness of invariant measures for state-dependent regime-switching diffusion processes. We also establish the strong convergence in the $L^1$-norm of the Euler-Maruyama's approximation and estimate the order of error. A refined application of Skorokhod's representation of jumping processes plays a substantial role in this work.