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Hybrid Switching Diffusions · Study

BookHybrid Switching Diffusions

Gang George Yin2009

Book2009

Hybrid Switching Diffusions

Gang George Yin · Chao Zhu

434 citations·0/0 files stored·Applications of mathematics

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Stochastic processes and financial applications Stability and Control of Uncertain Systems Nonlinear Differential Equations Analysis

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2020Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems 2010REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING 2013Positive recurrence of piecewise Ornstein–Uhlenbeck processes and common quadratic Lyapunov functions 2015Feynman–Kac formulas for regime-switching jump diffusions and their applications 2019On laws of large numbers for systems with mean-field interactions and Markovian switching 2021A General Stochastic Maximum Principle for Mean-Field Controls with Regime Switching 2019A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems 2012Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes

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Year2009

Typebook

Published2009-10-03

VenueApplications of mathematics

ISSN-L0172-4568

Languageen

Citations434

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-1-4419-1105-6

openalex_workW2488096466

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