Jump-diffusions with state-dependent switching: existence and uniqueness, Feller property, linearization, and uniform ergodicity

DOI10.1007/s11425-011-4281-yzbMath1274.60253MaRDI QIDQ1934556

Gang Yin, Fu-bao Xi

Publication date: 29 January 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-011-4281-y

zbMATH Keywords

linearization; jump-diffusion; uniform ergodicity; Poisson random measure; state-dependent switching; Feller property; sigma-finite characteristic measure

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

60J27: Continuous-time Markov processes on discrete state spaces

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Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations II: State-Dependent Case, Regime-switching diffusion processes: strong solutions and strong Feller property, On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes, Lyapunov exponents of PDEs driven by fractional noise with Markovian switching, Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values, Large deviations for multi-scale regime-switching jump diffusion systems, Exponential ergodicity for regime-switching diffusion processes in total variation norm, Periodic solutions of hybrid jump diffusion processes, Jump-diffusion processes in random environments, Stability of regime-switching jump diffusion processes, Feynman-Kac theorem in random environments and partial integro-differential equations, Successful couplings for diffusion processes with state-dependent switching, Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment, Feynman–Kac formulas for regime-switching jump diffusions and their applications, Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space, Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations

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