Numerical approximations to invariant measures of hybrid stochastic differential equations with superlinear coefficients via the backward Euler-Maruyama method
Abstract
For stochastic differential equations (SDEs) with Markovian switching, whose drift and diffusion coefficients are allowed to contain superlinear terms, the backward Euler-Maruyama (BEM) method is proposed to approximate the invariant measure. The existence and uniqueness of the invariant measure of the numerical solution generated by the BEM method is proved. Then the convergence of the numerical invariant measure to its underlying counterpart is shown. Those results obtained in this work release the requirement of the global Lipschitz condition on the diffusion coefficient in [X. Li et al. SIAM J. Numer. Anal. 56(3)(2018), pp. 1435-1455] and can also be regarded as a non-trivial extension of [W. Liu et al. Appl. Numer. Math. 184(2023), pp. 137-150] to the case of hybrid SDEs.
Keywords
Cite
@article{arxiv.2509.25799,
title = {Numerical approximations to invariant measures of hybrid stochastic differential equations with superlinear coefficients via the backward Euler-Maruyama method},
author = {Wei Liu and Jie Xu},
journal= {arXiv preprint arXiv:2509.25799},
year = {2025}
}
Comments
15 pages, 3 figures