Numerical solutions of regime-switching jump diffusions

DOI10.1016/J.AMC.2014.07.052MaRDI QIDQ278452zbMATHOpenAlexFDO

Authors Tuan Anh Hoang, George Yin, Fubao Xi

Publication date 2 May 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2014.07.052

zbMATH Keywords

numerical solutionjump diffusionstochastic differential equationrandom switching

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Continuous-time Markov processes on discrete state spaces (60J27) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Numerical solutions for jump-diffusions with regime switching
• Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems
• Numerical solutions of jump diffusions with Markovian switching
• Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
• Numerical solution algorithms for stochastic differential systems with switching diffusion

Cites work

• scientific article; zbMATH DE number 3878095 (Why is no real title available?)
• scientific article; zbMATH DE number 5207903 (Why is no real title available?)
• 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
• 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

(23)

• Strong solutions of a class of hybrid diffusion processes with state-dependent regime-switching
• Upper and Lower Solutions for Regime-Switching Diffusions with Applications in Financial Mathematics
• Switching-dominated stability of numerical solutions for hybrid neutral stochastic differential delay equations
• Iterative weak approximation and hard bounds for switching diffusion
• Numerical methods for controlled switching diffusions
• Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
• Milstein-type procedures for numerical solutions of stochastic differential equations with Markovian switching
• Variable-step Euler-Maruyama approximations of regime-switching jump diffusion processes
• Approximation methods for hybrid diffusion systems with state-dependent switching processes: numerical algorithms and existence and uniqueness of solutions
• 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
• Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions
• Asymptotic stability in distribution of stochastic systems with semi-Markovian switching
• Numerical solutions of regime-switching functional diffusions with infinite delay
• Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
• Numerical solution algorithms for stochastic differential systems with switching diffusion
• A regime-switching model with jumps and its application to bond pricing and insurance
• Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
• Numerical solutions of jump diffusions with Markovian switching
• Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
• Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes
• Numerical solutions for jump-diffusions with regime switching
• Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise

This page was built for publication: Numerical solutions of regime-switching jump diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q278452)