Stability of stochastic delay equations of Itô form with jumps and Markovian switchings, and their applications in finance (Q2771533)
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scientific article; zbMATH DE number 1705778
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stability of stochastic delay equations of Itô form with jumps and Markovian switchings, and their applications in finance |
scientific article; zbMATH DE number 1705778 |
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17 February 2002
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stability
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stochastic delay equations
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Poisson jumps
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Markovian switchings
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Lyapunov method
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financial models
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0.9207872
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0.9205177
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0.91393906
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0.9120509
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0.90867215
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0.9081739
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Stability of stochastic delay equations of Itô form with jumps and Markovian switchings, and their applications in finance (English)
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The main contributions of this article are results about existence, uniqueness and stability of processes defined by stochastic delay equations with Poisson jumps and Markovian switchings. In order to prove such results an extension of the second Lyapunov method for stochastic differential equations is successfully used. In applications the authors focus on financial analysis and obtain new results concerning stability of delay financial models.
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