Jump-diffusion processes in random environments

DOI10.1016/j.jde.2014.05.052zbMath1301.60081arXiv1305.4129OpenAlexW2963819023MaRDI QIDQ2249246

Jacek Jakubowski, Mariusz Andrzej Niewȩgłowski

Publication date: 10 July 2014

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.4129

zbMATH Keywords

stochastic differential equationsMarkov switchingjump-diffusion

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integral equations (60H20)

Related Items (5)

Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors ⋮ Feynman-Kac theorem in random environments and partial integro-differential equations ⋮ Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation ⋮ Stability of regime-switching jump diffusion processes ⋮ Large deviations for multi-scale regime-switching jump diffusion systems

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