Stability of regime-switching jump diffusion processes

DOI10.1016/j.jmaa.2019.123727zbMath1456.60203OpenAlexW2991422733WikidataQ126647432 ScholiaQ126647432MaRDI QIDQ2287317

Jing Hai Shao, Huijie Ji, Fu-bao Xi

Publication date: 20 January 2020

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2019.123727

zbMATH Keywords

stabilityregime-switchingjump diffusionfinite state spaceinfinite state space

Mathematics Subject Classification ID

Diffusion processes (60J60) Jump processes on discrete state spaces (60J74)

Related Items (9)

Explicit criteria for moment exponential stability and instability of switching diffusions with Lévy noise ⋮ Stability in distribution and stabilization of switching jump diffusions ⋮ Inverse optimal control of regime-switching jump diffusions ⋮ Stabilisation of stochastic complex-valued time-varying coupled systems with jump diffusion via aperiodically intermittent control ⋮ Partial differential integral equation model for pricing American option under multi state regime switching with jumps ⋮ Analysis and verification of uniform moment exponential stability for stochastic hybrid systems with Poisson jump ⋮ On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ Stability Verification for a Class of Stochastic Hybrid Systems by Semidefinite Programming ⋮ Exponential contraction of switching jump diffusions with a hidden Markov chain

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