Numerical solutions of regime-switching jump diffusions
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Cites work
- Almost sure stability of linear stochastic differential equations with jumps
- Approximation methods for hybrid diffusion systems with state-dependent switching processes: numerical algorithms and existence and uniqueness of solutions
- Asymptotic properties of jump-diffusion processes with state-dependent switching
- Autoregressive conditional heteroskedasticity and changes in regime
- Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
- scientific article; zbMATH DE number 3878095 (Why is no real title available?)
- scientific article; zbMATH DE number 5207903 (Why is no real title available?)
- Hybrid switching diffusions. Properties and applications
- Lévy Processes and Stochastic Calculus
- Numerical solutions for jump-diffusions with regime switching
- On the stability of jump-diffusions with Markovian switching
- Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
- Stability of regime-switching jump diffusions
- Stochastic Differential Equations with Markovian Switching
- Threshold-type policies for real options using regime-switching models
- Weak convergence methods and singularly perturbed stochastic control and filtering problems
Cited in
(26)- Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
- Switching-dominated stability of numerical solutions for hybrid neutral stochastic differential delay equations
- Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions
- Numerical solution algorithms for stochastic differential systems with switching diffusion
- Some recent progress on numerical methods for controlled regime-switching models with applications to insurance and risk management
- Feynman–Kac formulas for regime-switching jump diffusions and their applications
- A regime-switching model with jumps and its application to bond pricing and insurance
- Numerical solutions of jump diffusions with Markovian switching
- Approximation methods for hybrid diffusion systems with state-dependent switching processes: numerical algorithms and existence and uniqueness of solutions
- Upper and Lower Solutions for Regime-Switching Diffusions with Applications in Financial Mathematics
- Numerical methods for controlled switching diffusions
- Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
- Strong solutions of a class of hybrid diffusion processes with state-dependent regime-switching
- Milstein-type procedures for numerical solutions of stochastic differential equations with Markovian switching
- Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
- Asymptotic stability in distribution of stochastic systems with semi-Markovian switching
- Numerical solutions for jump-diffusions with regime switching
- Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes
- Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise
- Iterative weak approximation and hard bounds for switching diffusion
- Variable-step Euler-Maruyama approximations of regime-switching jump diffusion processes
- Numerical solutions of regime-switching functional diffusions with infinite delay
- Robust optimal control for hidden Markovian-switching jump diffusions: the finite-horizon payoff
- Strong and weak convergence rates of Euler-Maruyama scheme for stochastic differential equations with state-dependent Markovian switching driven by -stable process
- On well-posedness and Euler scheme for regime-switching stochastic differential equations with discontinuous drift coefficient
- Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
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