Theory of stochastic differential equations with jumps and applications.

DOI10.1007/B106901zbMATH Open1070.60002OpenAlexW4255534777MaRDI QIDQ1781402FDOQ1781402

Publication date: 24 June 2005

Published in: Mathematical and Analytical Techniques with Applications to Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/b106901

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Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (only showing first 100 items - show all)

Comparison theorem for stochastic differential delay equations with jumps
Yamada-Watanabe results for stochastic differential equations with jumps
Well-posedness and dynamics of the stochastic fractional magneto-hydrodynamic equations
Optimal harvesting for a stochastic regime-switching logistic diffusion system with jumps
Well-posedness for the stochastic 2D primitive equations with Lévy noise
Stability in distribution of a stochastic hybrid competitive Lotka-Volterra model with Lévy jumps
Approximation properties for solutions to non-Lipschitz stochastic differential equations with Lévy noise
Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
Title not available (Why is that?)
Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
Stochastic equations, flows and measure-valued processes
Sampled-data LQG control for a class of linear quantum systems
Dynamics of the stochastic low concentration trimolecular oscillatory chemical system with jumps
Stochastic periodic solutions of stochastic differential equations driven by Lévy process
Numerical analysis on local risk-minimization for exponential Lévy models
On tamed Milstein schemes of SDEs driven by Lévy noise
Heavy-traffic limits for many-server queues with service interruptions
Global finite-time adaptive stabilization for nonlinear systems with multiple unknown control directions
Continuous-state branching processes with immigration
Permanence and extinction of a stochastic delay logistic model with jumps
On martingale problems and Feller processes
Hausdorff dimension of the range and the graph of stable-like processes
Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching
Finite-time stability and instability of stochastic nonlinear systems
Backward doubly stochastic equations with jumps and comparison theorems
Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by Lévy noise
Martingale solution to equations for differential type fluids of grade two driven by random force of Lévy type
SDEs driven by a time-changed Lévy process and their associated time-fractional order pseudo-differential equations
Stability and Strong Convergence for Spatial Stochastic Kinetics
Harnack inequalities for stochastic equations driven by Lévy noise
Refined basic couplings and Wasserstein-type distances for SDEs with Lévy noises
Using maximum cross section method for filtering jump-diffusion random processes
On the existence and explicit estimates for the coupling property of Lévy processes with drift
A BSDE approach to optimal investment of an insurer with hidden regime switching
Authors' reply to ``Comments on `Finite-time stability theorem of stochastic nonlinear systems'\,
Strong solutions for stochastic differential equations with jumps
Optimal global approximation of stochastic differential equations with additive Poisson noise
Synchronization of dissipative dynamical systems driven by non-Gaussian Lévy noises
Regularity of semigroups generated by Lévy type operators via coupling
Analysis of a stochastic Lotka-Volterra competitive model with infinite delay and impulsive perturbations
Well-posedness of the stochastic fractional Boussinesq equation with Lévy noise
A general comparison theorem for backward stochastic differential equations
A comparison principle for stochastic integro-differential equations
Stochastic equations of super-Lévy processes with general branching mechanism
Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients
Weak convergence of marked point processes generated by crossings of multivariate jump processes. applications to neural network modeling
Survival analysis of a cooperation system with random perturbations in a polluted environment
Convergence of hitting times for jump-diffusion processes
Synchronization of systems of Marcus canonical equations driven by \(\alpha \)-stable noises
\(\Phi\)-entropy inequality and application for SDEs with jumps
Slow manifolds for dynamical systems with non-Gaussian stable Lévy noise
Persistence and extinction of a stochastic non-autonomous Gilpin-Ayala system driven by Lévy noise
Backward stochastic differential equations approach to hedging, option pricing, and insurance problems
Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process
Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps
A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
Optimal harvesting for a stochastic N-dimensional competitive Lotka-Volterra model with jumps
Noise-induced vegetation transitions in the Grazing Ecosystem
On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
Continuous finite-dimensional locally optimal filtering of jump diffusions
Refracted Lévy processes
Successful couplings for a class of stochastic differential equations driven by Lévy processes
On pathwise uniqueness for stochastic differential equations driven by stable Lévy processes
Numerical simulations and modeling for stochastic biological systems with jumps
Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
Asymptotic expansions for SDE's with small multiplicative noise
\(\mathcal{H}_\infty\) filtering for stochastic systems driven by Poisson processes
Continuous state branching processes in random environment: the Brownian case
Generalized fractional BSDE with jumps and Lipschitz coefficients
The synchronization of coupled stochastic systems driven by symmetric \(\alpha\)-stable process and Brownian motion
Local risk-minimization for Barndorff-Nielsen and Shephard models
\(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration
Analysis of a general stochastic non-autonomous logistic model with delays and Lévy jumps
Exponential ergodicity of some Markov dynamical systems with application to a Poisson-driven stochastic differential equation
Sample paths of continuous-state branching processes with dependent immigration
Finite time stability of stochastic hybrid systems
Backward stochastic Volterra integral equations with jumps in a general filtration
On Milstein-type scheme for SDE driven by Lévy noise with super-linear coefficients
Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions
Robust finite-time fault estimation for stochastic nonlinear systems with Brownian motions
Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
Pathwise uniqueness of stochastic differential equations driven by Cauchy processes with drift
On Feller and strong Feller properties and exponential ergodicity of regime-switching jump diffusion processes with countable regimes
Adaptive fuzzy event-triggered control for nonstrict-feedback switched stochastic nonlinear systems with state constraints
Stochastic maximum principle of mean-field jump-diffusion systems with mixed delays
Periodic solutions of stochastic differential equations driven by Lévy noises
Stochastic SIR Lévy jump model with heavy-tailed increments
Adaptive neural network asymptotic tracking control for nonstrict feedback stochastic nonlinear systems
Media effects on the dynamics of a stochastic SIRI epidemic model with relapse and Lévy noise perturbation
Analysis of a hybrid switching SVIR epidemic model with vaccination and Lévy noise
Stochastic differential equations driven by fractional Brownian motion and Poisson point process
On Krylov's estimates for optional semimartingales
A variation of constant formula for Caputo fractional stochastic differential equations with jump-diffusion
Asymptotic behavior of the stochastic Rayleigh-van der Pol equations with jumps
Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation

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