Stability of regime-switching jump diffusion processes
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Publication:2287317
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
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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