Feller property for a special hybrid jump-diffusion model (Q1724069): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1155/2014/412848 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2007865629 / rank | |||
Normal rank | |||
Revision as of 00:19, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Feller property for a special hybrid jump-diffusion model |
scientific article |
Statements
Feller property for a special hybrid jump-diffusion model (English)
0 references
14 February 2019
0 references
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.
0 references
hybrid jump-diffusion model
0 references
Feller property
0 references
stochastic stability
0 references
