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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Stochastic differential equations and applications.
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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
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

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