Hybrid switching diffusions. Properties and applications

DOI10.1007/978-1-4419-1105-6MaRDI QIDQ1031565zbMATH OpenOpenAlexFDO

Authors G. Yin, Chao Zhu

Publication date 30 October 2009

Published in Stochastic Modelling and Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4419-1105-6

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)

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Cited in

(only showing first 100 items - show all)

• Some bivariate stochastic models arising from group representation theory
• Ergodicity and first passage probability of regime-switching geometric Brownian motions
• On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators
• Variational formula for the stability of regime-switching diffusion processes
• Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales
• Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
• Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
• Stability analysis for impulsive stochastic delay differential equations with Markovian switching
• Optimal harvesting strategies for stochastic competitive Lotka-Volterra ecosystems
• Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model
• Stochastic systems arising from Markov modulated empirical measures
• Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
• Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
• Almost sure exponential stability and stochastic stabilization of stochastic differential systems with impulsive effects
• Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching
• A note on stability of hybrid stochastic differential equations
• Permanence and extinction of a stochastic hybrid model for tumor growth
• Properties of switching jump diffusions: maximum principles and Harnack inequalities
• Existence and controllability of second-order neutral impulsive stochastic evolution integro-differential equations with state-dependent delay
• Recurrence and ergodicity of switching diffusions with past-dependent switching having a countable state space
• Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
• Exponential ergodicity for SDEs driven by \(\alpha\)-stable processes with Markovian switching in Wasserstein distances
• A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
• Stability analysis of stochastic differential equations with Markovian switching
• Jump-diffusions with state-dependent switching: existence and uniqueness, Feller property, linearization, and uniform ergodicity
• Approximation of invariant measure for a stochastic population model with Markov chain and diffusion in a polluted environment
• Discrete-time hybrid control in Borel spaces
• Exponential stability with respect to part of the variables for a class of nonlinear stochastic systems with Markovian switchings
• Invariant measure of a stochastic food-limited population model with regime switching
• Recurrence for switching diffusion with past dependent switching and countable state space
• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
• Stability of hybrid stochastic functional differential equations
• Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
• On strong Feller property, exponential ergodicity and large deviations principle for stochastic damping Hamiltonian systems with state-dependent switching
• Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values
• A note on explicit Milstein-type scheme for stochastic differential equation with Markovian switching
• Persistence and extinction of a stochastic SIS epidemic model with regime switching and Lévy jumps
• Stationary distributions of persistent ecological systems
• EM algorithm for stochastic hybrid systems
• Convergence, boundedness, and ergodicity of regime-switching diffusion processes with infinite memory
• Dynamical systems under random perturbations with fast switching and slow diffusion: hyperbolic equilibria and stable limit cycles
• Analysis of stochastic gradient descent in continuous time
• Some characterizations for Brownian motion with Markov switching
• Invariant measure of a stochastic hybrid predator-prey model with infected prey
• Asymptotic behavior of SIRS models in state-dependent random environments
• Razumikhin method to stability of delay coupled systems with hybrid switching diffusions
• On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes
• A Markovian regime-switching stochastic hybrid time-delayed epidemic model with vaccination
• Homogenized first-moment analysis of two-time-scale positive Markov jump linear systems
• Convergence of martingale solutions to the hybrid slow-fast system
• On ergodic control problem for viscous Hamilton-Jacobi equations for weakly coupled elliptic systems
• Nonzero-sum impulse games with regime switching
• Stationary distribution, extinction, density function and periodicity of an \(n\)-species competition system with infinite distributed delays and nonlinear perturbations
• On subgeometric ergodicity of regime-switching diffusion processes
• Harvesting of a stochastic population under a mixed regular-singular control formulation
• Optimization of stochastic jump diffusion systems nonlinear in the control
• Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
• Dynamical behavior of stochastic SIRS model with two different incidence rates and Markovian switching
• Dynamics of a stochastic population model with Allee effects under regime switching
• Harnack inequality and long time asymptotics of unbounded additive functionals of regime-switching diffusion processes
• Exponential stability of impulsive stochastic differential equations with Markovian switching
• Hybrid optimal impulse control
• Stationary distribution of a stochastic ratio-dependent predator-prey system with regime-switching
• Backward stochastic differential equations with regime-switching and sublinear expectations
• The effects of random and seasonal environmental fluctuations on optimal harvesting and stocking
• Stationary distribution of a stochastic hybrid phytoplankton model with allelopathy
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
• Optimal control of variable-speed wind turbines modeled as Markov jump systems
• A class of generalized Ginzburg-Landau equations with random switching
• The Dynkin game with regime switching and applications to pricing game options
• Optimal feedback control of stock prices under credit risk dynamics
• Stochastic mutualism model under regime switching with Lévy jumps
• Dynamic behaviors of a predator-prey model perturbed by a complex type of noises
• Stabilization of stochastic coupled systems with Lévy noise and regime switching diffusions via intermittent control with a time delay
• Exponential ergodicity for regime-switching diffusion processes in total variation norm
• On exponential stability of non-autonomous stochastic differential equations with Markovian switching
• Inverse optimal control of regime-switching jump diffusions
• Existence, uniqueness and exponential ergodicity under Lyapunov conditions for McKean-Vlasov SDEs with Markovian switching
• Asymptotic properties of multi-species Lotka-Volterra models with regime switching involving weak and strong interactions
• Two-player zero-sum stochastic differential games with regime switching
• On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching
• A note on a stochastic Holling-II predator-prey model with a prey refuge
• Optimal investment decision under switching regimes of subsidy support
• General nonlinear stochastic systems motivated by chemostat models: complete characterization of long-time behavior, optimal controls, and applications to wastewater treatment
• Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
• Exact long time behavior of some regime switching stochastic processes
• Distributions of functionals of switching diffusions with jumps
• On the convergence of workload in service system to Brownian motion with switching variance
• Ginzburg-Landau equations with random switching and impulsive perturbations
• Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion
• Mean stability and L₁ performance of a class of two-time-scale Markov jump linear systems
• Sufficient conditions for terminal invariance of stochastic jump diffusion systems
• Random evolution equations: well-posedness, asymptotics, and applications to graphs
• A general stochastic maximum principle for mean-field controls with regime switching
• Periodic solutions of hybrid jump diffusion processes
• Mean field interaction on random graphs with dynamically changing multi-color edges
• Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching
• Jump-diffusion processes in random environments
• Existence of stationary distributions for Kolmogorov systems of competitive type under telegraph noise
• BSDEs with regime switching: weak convergence and applications

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