On the stability of jump-diffusions with Markovian switching (Q2474962)
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| Language | Label | Description | Also known as |
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| English | On the stability of jump-diffusions with Markovian switching |
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On the stability of jump-diffusions with Markovian switching (English)
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6 March 2008
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Under the standard Lipschitz condition and linear growth condition of coefficients, the existence, uniqueness and non-explosion of solutions to a class of stochastic differential-integral equations driven by the Brownian motion and the Poisson process with Markovian switching are proved. Feller and strong Feller properties and the exponential ergodicity for the associated Markov semigroups are also investigated.
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Stochastic differential-integral equation
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Markov switching
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coupling
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ergodicity
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