Theory of stochastic differential equations with jumps and applications.

DOI10.1007/B106901zbMath1070.60002OpenAlexW4255534777MaRDI QIDQ1781402

Rong Situ

Publication date: 24 June 2005

Published in: Mathematical and Analytical Techniques with Applications to Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/b106901

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (only showing first 100 items - show all)

Yamada-Watanabe results for stochastic differential equations with jumps ⋮ Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions ⋮ A variation of constant formula for Caputo fractional stochastic differential equations with jump-diffusion ⋮ Global finite-time adaptive stabilization for nonlinear systems with multiple unknown control directions ⋮ Heavy-traffic limits for many-server queues with service interruptions ⋮ Fully nonlocal stochastic control problems with fractional Brownian motions and Poisson jumps ⋮ Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients ⋮ Backward doubly stochastic equations with jumps and comparison theorems ⋮ Multifractality of jump diffusion processes ⋮ Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure ⋮ Some properties of finite-time stable stochastic nonlinear systems ⋮ Optimal harvesting policy of a stochastic two-species competitive model with Lévy noise in a polluted environment ⋮ On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions ⋮ Stochastic differential equation in a random environment ⋮ Optimal global approximation of stochastic differential equations with additive Poisson noise ⋮ Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps ⋮ Davie's type uniqueness for a class of SDEs with jumps ⋮ Convergence of hitting times for jump-diffusion processes ⋮ Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process ⋮ Analysis of a hybrid switching SVIR epidemic model with vaccination and Lévy noise ⋮ Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by Lévy noise ⋮ Stability analysis of stochastic delay differential equations with Markovian switching driven by Lévy noise ⋮ Well-posedness for the stochastic 2D primitive equations with Lévy noise ⋮ Ergodicity of stochastic differential equations with jumps and singular coefficients ⋮ Stationary solutions for stochastic differential equations driven by Lévy processes ⋮ Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes ⋮ Optimal harvesting for a stochastic regime-switching logistic diffusion system with jumps ⋮ Successful couplings for a class of stochastic differential equations driven by Lévy processes ⋮ Existence and large time behavior for a stochastic model of modified magnetohydrodynamic equations ⋮ Analysis of a delayed vaccinated SIR epidemic model with temporary immunity and Lévy jumps ⋮ Stochastic equations, flows and measure-valued processes ⋮ Sampled-data LQG control for a class of linear quantum systems ⋮ A stochastic SIRS epidemic model incorporating media coverage and driven by Lévy noise ⋮ State-feedback stabilization for stochastic high-order nonholonomic systems with Markovian switching ⋮ Survival analysis of a cooperation system with random perturbations in a polluted environment ⋮ On pathwise uniqueness for stochastic differential equations driven by stable Lévy processes ⋮ Strong solutions for stochastic differential equations with jumps ⋮ Martingale solution to equations for differential type fluids of grade two driven by random force of Lévy type ⋮ Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations ⋮ Comparison theorem for stochastic differential delay equations with jumps ⋮ Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control ⋮ Density symmetries for a class of 2-D diffusions with applications to finance ⋮ Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients ⋮ Permanence and extinction of a stochastic delay logistic model with jumps ⋮ Backward stochastic differential equations approach to hedging, option pricing, and insurance problems ⋮ Jump type stochastic differential equations with non-Lipschitz coefficients: non-confluence, Feller and strong Feller properties, and exponential ergodicity ⋮ Finite time stability of stochastic hybrid systems ⋮ A comparison principle for stochastic integro-differential equations ⋮ On the existence and explicit estimates for the coupling property of Lévy processes with drift ⋮ Martingale solutions for the three-dimensional stochastic nonhomogeneous incompressible Navier-Stokes equations driven by Lévy processes ⋮ Asymptotic behavior of a stochastic non-autonomous predator-prey system with jumps ⋮ Finite-time stability and instability of stochastic nonlinear systems ⋮ \(\Phi\)-entropy inequality and application for SDEs with jumps ⋮ Optimal harvesting for a stochastic N-dimensional competitive Lotka-Volterra model with jumps ⋮ The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps ⋮ Finite-time stochastic input-to-state stability of switched stochastic nonlinear systems ⋮ \(p\)th moment asymptotic stability for neutral stochastic functional differential equations with Lévy processes ⋮ Observer-based fault estimation and tolerant control for stochastic Takagi-Sugeno fuzzy systems with Brownian parameter perturbations ⋮ \(L_2\)-\(L_\infty\) filtering for stochastic systems driven by Poisson processes and Wiener processes ⋮ Analysis of a general stochastic non-autonomous logistic model with delays and Lévy jumps ⋮ Optimal global approximation of jump-diffusion SDEs via path-independent step-size control ⋮ Noise-induced vegetation transitions in the Grazing Ecosystem ⋮ Stability in distribution of a stochastic hybrid competitive Lotka-Volterra model with Lévy jumps ⋮ Continuous state branching processes in random environment: the Brownian case ⋮ Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations ⋮ On martingale problems and Feller processes ⋮ Analysis of a stochastic Lotka-Volterra competitive model with infinite delay and impulsive perturbations ⋮ Continuous finite-dimensional locally optimal filtering of jump diffusions ⋮ Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs ⋮ Local risk-minimization for Barndorff-Nielsen and Shephard models ⋮ \(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration ⋮ On tamed Milstein schemes of SDEs driven by Lévy noise ⋮ Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation ⋮ Weak convergence of marked point processes generated by crossings of multivariate jump processes. applications to neural network modeling ⋮ Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions ⋮ Synchronization of dissipative dynamical systems driven by non-Gaussian Lévy noises ⋮ Finite-time stabilization of stochastic nonholonomic systems and its application to mobile robot ⋮ Refracted Lévy processes ⋮ Synchronization of systems of Marcus canonical equations driven by \(\alpha \)-stable noises ⋮ Finite time inverse optimal stabilization for stochastic nonlinear systems ⋮ Asymptotic behavior of the stochastic Rayleigh-van der Pol equations with jumps ⋮ Further result on finite-time stabilization of stochastic nonholonomic systems ⋮ Periodic solutions of stochastic differential equations driven by Lévy noises ⋮ Stochastic SIR Lévy jump model with heavy-tailed increments ⋮ Regularity of semigroups generated by Lévy type operators via coupling ⋮ Stability in the mean of a stochastic three species food chain model with general Lévy jumps ⋮ On Milstein-type scheme for SDE driven by Lévy noise with super-linear coefficients ⋮ Persistence and extinction of a stochastic SIS epidemic model with regime switching and Lévy jumps ⋮ Robust finite-time fault estimation for stochastic nonlinear systems with Brownian motions ⋮ Existence of densities for stochastic differential equations driven by Lévy processes with anisotropic jumps ⋮ Euler-Maruyama approximations for stochastic McKean-Vlasov equations with non-Lipschitz coefficients ⋮ Hausdorff dimension of the range and the graph of stable-like processes ⋮ Dynamics of stochastic Lorenz-Stenflo system ⋮ Exponential ergodicity in the bounded-Lipschitz distance for some piecewise-deterministic Markov processes with random switching between flows ⋮ On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes ⋮ Generalized Peano problem with Lévy noise ⋮ Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump ⋮ Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type ⋮ Coupled system of second-order stochastic neutral differential inclusions driven by Wiener process and Poisson jumps ⋮ Construction of continuous-state branching processes in varying environments

This page was built for publication: Theory of stochastic differential equations with jumps and applications.