Jump-diffusion processes in random environments
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Publication:2249246
DOI10.1016/J.JDE.2014.05.052zbMATH Open1301.60081arXiv1305.4129OpenAlexW2963819023MaRDI QIDQ2249246FDOQ2249246
Jacek Jakubowski, Mariusz Niewęgłowski
Publication date: 10 July 2014
Published in: Journal of Differential Equations (Search for Journal in Brave)
Abstract: In this paper we investigate jump-diffusion processes in random environments which are given as the weak solutions to SDE's. We formulate conditions ensuring existence and uniqueness in law of solutions. We investigate Markov property. To prove uniqueness we solve a general martingale problem for cadlag processes. This result is of independent interest. In the last section we present application of our results considering generalized exponential Levy model.
Full work available at URL: https://arxiv.org/abs/1305.4129
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Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)
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Cited In (13)
- Large deviations for multi-scale regime-switching jump diffusion systems
- Markov additive processes for degradation with jumps under dynamic environments
- Large deviations for processes in random environments with jumps
- Title not available (Why is that?)
- Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
- Uniqueness in law for pure jump Markov processes
- Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
- Stability of regime-switching jump diffusion processes
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- On sequential construction of solutions of stochastic differential equations with jump terms
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