A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows

DOI10.1016/j.jmaa.2017.12.019zbMath1392.60060OpenAlexW2775355612MaRDI QIDQ681793

Robert J. Elliott, Tak Kuen Siu

Publication date: 13 February 2018

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

Full work available at URL: https://ap01.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12152828980001831

zbMATH Keywords

differentiabilityCauchy problemKolmogorov equationsstochastic flowsregime-switching diffusion process

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Stochastic integral equations (60H20)

Related Items (2)

Stochastic Flows and Jump-Diffusions ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS

Cites Work

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• ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET
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• Stochastic Differential Equations with Markovian Switching

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