A discontinuous Galerkin method for approximating the stationary distribution of stochastic fluid-fluid processes

Nigel Bean, Giang T. Nguyen, Malgorzata M. O'Reilly +1

Introduced by Bean and O'Reilly (2014), a stochastic fluid-fluid process is a Markov processes $\{X_t,Y_t,{\phi }_t{\}}_{t\ge 0}$, where the first fluid $X_t$ is driven by the Markov c…