Feller property for a special hybrid jump-diffusion model (Q1724069)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7022342
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Feller property for a special hybrid jump-diffusion model |
scientific article; zbMATH DE number 7022342 |
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
0 references
0 references
0.8179489970207214
0 references
0.8150954842567444
0 references
0.7919226288795471
0 references
0.7888303995132446
0 references
