Numerical method for stationary distribution of stochastic differential equations with Markovian switching

In principle, once the existence of the stationary distribution of a stochastic differential equation with Markovian switching is assured, we may compute it by solving the associated system of the coupled Kolmogorov–Fokker–Planck equations. However, this is nontrivial in practice. As a viable alternative, we use the Euler–Maruyama scheme to obtain the stationary distribution in this paper.