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Your search keyword '"Yin, G."' showing total 2 results
2 results on '"Yin, G."'

1. ON AVERAGING PRINCIPLES:AN ASYMPTOTIC EXPANSION APPROACH.

Author

Khasminskii, R. Z. and Yin, G.

Subjects
*PERTURBATION theory, *DYNAMICS, *ASYMPTOTIC expansions, *STOCHASTIC convergence, *NUMERICAL analysis
Abstract

This work is concerned with diffusion processes having fast and slow components. It was known that under suitable assumptions the slow component can be approximated by the Markov process with averaged characteristics. In this work, asymptotic expansions for the solutions of the Kolmogorov backward equations are constructed and justified. Certain probabilistic conclusions and examples are also provided. [ABSTRACT FROM AUTHOR]

Published
2004
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2. Numerical Approximation of Invariant Measures for Hybrid Diffusion Systems.

Author

George Yin, G., Mao, X., and Yin, K.

Subjects
*STOCHASTIC convergence, *DIFFUSION, *MARKOV processes, *ALGORITHMS, *NUMERICAL analysis, *APPROXIMATION theory
Abstract

This work is concerned with numerical approximation of hybrid diffusions with regime switching modulated by continuous-time finite-state Markov chains. When using the Euler-Maruyama approximation algorithms, an important question is: Suppose the measure of the regime-switching diffusions converges to its invariant measure, will the sequence of measures of the approximation scheme converges to the same limit? This paper provides answers to this question. By appropriate interpolations and weak convergence methods, it shows that a suitably interpolated sequence resulted from the algorithm converges to the switching diffusion. The convergence to the invariant measure of the numerical algorithm is also studied. [ABSTRACT FROM AUTHOR]

Published
2005
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