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Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
3 references·0 citing·8 second hop
Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions (2018)Invariant Measures and Euler--Maruyama's …On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes (2017)On Feller and Strong Feller P…Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space (2015)Strong Solutions and Strong F…Tail of a linear diffusion with Markov switching (2005)Tail of a linear diffusion wi…On the uniqueness of solutions of stochastic differential equations (1971)On the stability of jump-diffusions with Markovian switching (2007)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Persistence and Procyclicality in Margin Requirements (2018)A study of a class of stochastic differential equations with non-Lipschitzian coefficients (2005)Theory of Stochastic Differential Equations with Jumps and Applications: Mathematical and Analytical Techniques with Applications to Engineering (2005)Hybrid Switching Diffusions: Properties and Applications (2010)
this work references cited by second hop

References

  • 2005Tail of a linear diffusion with Markov switching59 cited
  • 2015Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space56 cited
  • 2017On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes48 cited

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