Asymptotic expansions of transition densities for hybrid jump-diffusions

DOI10.1007/s10255-004-0143-5zbMath1117.60075OpenAlexW2046775395MaRDI QIDQ1780317

Yuanjin Liu, G. George Yin

Publication date: 7 June 2005

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-004-0143-5

zbMATH Keywords

asymptotic expansionMarkov chainPoisson processhybrid modeljump diffusion

Mathematics Subject Classification ID

Asymptotic expansions of solutions to PDEs (35C20) Initial value problems for second-order parabolic systems (35K45) Transition functions, generators and resolvents (60J35)

Related Items (3)

Extension and Application of Itô's Formula UnderG-Framework ⋮ Moment inequality and Hölder inequality for BSDEs ⋮ On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion

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