Feller property for a special hybrid jump-diffusion model (Q1724069): Difference between revisions
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Revision as of 04:26, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Feller property for a special hybrid jump-diffusion model |
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Feller property for a special hybrid jump-diffusion model (English)
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14 February 2019
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Summary: We consider the stochastic stability for a hybrid jump-diffusion model, where the switching here is a phase semi-Markovian process. We first transform the process into a corresponding jump-diffusion with Markovian switching by the supplementary variable technique. Then we prove the Feller and strong Feller properties of the model under some assumptions.
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hybrid jump-diffusion model
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Feller property
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stochastic stability
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