Weak convergence of Markov-modulated diffusion processes with rapid switching
From MaRDI portal
Publication:2452781
DOI10.1016/j.spl.2013.12.013zbMath1293.60076arXiv1501.03020MaRDI QIDQ2452781
Gang Huang, Peter Spreij, M. R. H. Mandjes
Publication date: 5 June 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.03020
Related Items
Explicit Computations for Some Markov Modulated Counting Processes, DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS, Large deviations for Markov-modulated diffusion processes with rapid switching, Markov-modulated Ornstein–Uhlenbeck processes
Cites Work
- Hybrid switching diffusions. Properties and applications
- Stopping times and tightness
- Large deviations for two scaled diffusions
- Weak convergence of Markov-modulated random sequences
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- Option Pricing With Markov-Modulated Dynamics
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Unnamed Item
- Unnamed Item
- Unnamed Item