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)

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
General decay asymptotic stability of neutral stochastic differential delayed equations with Markov switching
Integrability and regularity of the flow of stochastic differential equations with jumps
Persistence and extinction of a stochastic SIS epidemic model with regime switching and Lévy jumps
Fluctuation theory for level-dependent Lévy risk processes
Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
Existence of densities for stochastic differential equations driven by Lévy processes with anisotropic jumps
Ergodicity of stochastic differential equations with jumps and singular coefficients
Uniqueness for measure-valued equations of nonlinear filtering for stochastic dynamical systems with Lévy noise
Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps
Stability analysis of stochastic delay differential equations with Markovian switching driven by Lévy noise
Exponential ergodicity of an affine two-factor model based on the α-root process
Generalized Peano problem with Lévy noise
The threshold of stochastic Gilpin-Ayala model subject to general Lévy jumps
Jump stochastic differential equations with non-Lipschitz and superlinearly growing coefficients
Lévy's martingale characterization and reflection principle of \(G\)-Brownian motion
Exponential ergodicity in the bounded-Lipschitz distance for some piecewise-deterministic Markov processes with random switching between flows
On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes
Stabilisation of stochastic delayed systems with Lévy noise on networks via periodically intermittent control
Sub-Markovian \(C _{0}\)-semigroups generated by fractional Laplacian with gradient perturbation
Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump
Existence of densities for multi-type continuous-state branching processes with immigration
Optimal sampling design for global approximation of jump diffusion stochastic differential equations
On the equivalence between some jumping SDEs with rough coefficients and some non-local PDEs
Remark on pathwise uniqueness of stochastic differential equations driven by Lévy processes
Coupled system of second-order stochastic neutral differential inclusions driven by Wiener process and Poisson jumps
Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
Construction of continuous-state branching processes in varying environments
Optimal harvesting of a stochastic delay competitive Lotka-Volterra model with Lévy jumps
An Euler-Poisson scheme for Lévy driven stochastic differential equations
Further result on finite-time stabilization of stochastic nonholonomic systems
\(p\)th moment exponential stability of neutral stochastic differential equations driven by Lévy noise
The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps
\(p\)th moment asymptotic stability for neutral stochastic functional differential equations with Lévy processes
\( \mathcal{H}_\infty\) control for Poisson-driven stochastic systems
Some properties of finite-time stable stochastic nonlinear systems
On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions
A positive role of multiplicative noise on the emergence of flocking in a stochastic Cucker-Smale system
On the optimality of the refraction-reflection strategies for Lévy processes
Modeling and analysis of switching diffusion systems: past-dependent switching with a countable state space
On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps
Large deviations for invariant measures of stochastic differential equations with jumps
High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
Random periodic solutions for a class of hybrid stochastic differential equations
Fully nonlocal stochastic control problems with fractional Brownian motions and Poisson jumps
Strong solutions and strong Feller properties for regime-switching diffusion processes in an infinite state space
Exponential ergodicity for non-Lipschitz multivalued stochastic differential equations with Lévy jumps
Euler-Maruyama approximations for stochastic McKean-Vlasov equations with non-Lipschitz coefficients
Asymptotic behavior of a stochastic non-autonomous predator-prey system with jumps
Maximal inequalities and exponential estimates for stochastic convolutions driven by Lévy-type processes in Banach spaces with application to stochastic quasi-geostrophic equations
Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes
Stochastic differential equation in a random environment
Euler-Maruyama approximation for SDEs with jumps and non-Lipschitz coefficients
STOCHASTIC EQUATIONS OF PROCESSES WITH JUMPS
Optimal harvesting policy of a stochastic two-species competitive model with Lévy noise in a polluted environment
Stability in the mean of a stochastic three species food chain model with general Lévy jumps
Analysis of a delayed vaccinated SIR epidemic model with temporary immunity and Lévy jumps
Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type
Dynamics of stochastic Lorenz-Stenflo system
Path-dependent BSDEs with jumps and their connection to PPIDEs
Finite time inverse optimal stabilization for stochastic nonlinear systems
Existence and large time behavior for a stochastic model of modified magnetohydrodynamic equations
State-feedback stabilization for stochastic high-order nonholonomic systems with Markovian switching
Transportation-cost inequalities for diffusions with jumps and its application to regime-switching processes
Non-Gaussian limit theorem for non-linear Langevin equations driven by Lévy noise
Optimal harvesting for a stochastic Lotka-Volterra predator-prey system with jumps and nonselective harvesting hypothesis
Stationary solutions for stochastic differential equations driven by Lévy processes
Multifractality of jump diffusion processes
Dynamical behavior of a hybrid switching SIS epidemic model with vaccination and Lévy jumps
Numerical Analysis of the Model of Optimal Consumption and Borrowing with Random Time Scale
A stochastic SIRS epidemic model incorporating media coverage and driven by Lévy noise
Martingale solutions for the three-dimensional stochastic nonhomogeneous incompressible Navier-Stokes equations driven by Lévy processes
Stochastic fractional differential equations driven by Lévy noise under Carathéodory conditions
Order preservation for multidimensional stochastic functional differential equations with jumps
Solutions of Lévy-driven SDEs with unbounded coefficients as Feller processes
Davie's type uniqueness for a class of SDEs with jumps
The effect of Lévy noise on the survival of a stochastic competitive model in an impulsive polluted environment
Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
Observer-based fault estimation and tolerant control for stochastic Takagi-Sugeno fuzzy systems with Brownian parameter perturbations

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