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On the stability of jump-diffusions with Markovian switching · Study

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ArticleOn the stability of jump-diffusions with Markovian switching

Fubao Xi2007

OA

Articlebronze2007

On the stability of jump-diffusions with Markovian switching

52 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Stochastic processes and statistical mechanics

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References

1983Stochastic Differential Equations and Diffusion Processes 1981Stochastic Differential Equations and Diffusion Processes 2002AMERICAN OPTIONS WITH REGIME SWITCHING 1995Mean-Variance Hedging of Options on Stocks with Markov Volatilities 2002Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach

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2017On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes

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Details

Year2007

Typearticle

Published2007-11-14

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations52

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jmaa.2007.10.018

openalex_workW2050201969

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