Jump-diffusions with state-dependent switching: existence and uniqueness, Feller property, linearization, and uniform ergodicity

DOI10.1007/s11425-011-4281-yzbMath1274.60253OpenAlexW2260817477MaRDI QIDQ1934556

Gang Yin, Fu-bao Xi

Publication date: 29 January 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-011-4281-y

zbMATH Keywords

linearizationjump-diffusionuniform ergodicityPoisson random measurestate-dependent switchingFeller propertysigma-finite characteristic measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (16)

Lyapunov exponents of PDEs driven by fractional noise with Markovian switching ⋮ Exponential ergodicity for regime-switching diffusion processes in total variation norm ⋮ Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment ⋮ Feynman-Kac theorem in random environments and partial integro-differential equations ⋮ Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space ⋮ Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations ⋮ Successful couplings for diffusion processes with state-dependent switching ⋮ Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations II: State-Dependent Case ⋮ Periodic solutions of hybrid jump diffusion processes ⋮ Jump-diffusion processes in random environments ⋮ Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values ⋮ Stability of regime-switching jump diffusion processes ⋮ Regime-switching diffusion processes: strong solutions and strong Feller property ⋮ Feynman–Kac formulas for regime-switching jump diffusions and their applications ⋮ Large deviations for multi-scale regime-switching jump diffusion systems ⋮ On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes

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