Doubly perturbed jump-diffusion processes

DOI10.1016/J.JMAA.2008.09.024MaRDI QIDQ2518282zbMATH OpenOpenAlexFDO

Authors Jiaowan Luo

Publication date 15 January 2009

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2008.09.024

zbMATH Keywords

doubly perturbed functional equationsexistence and uniquenessjump-diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cites work

• Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
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• Upper and lower limits of doubly perturbed Brownian motion
• Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)

Cited in

(12)

• Density functions of doubly-perturbed stochastic differential equations with jumps
• Approximate solutions for a class of doubly perturbed stochastic differential equations
• Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lévy process
• Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching
• The averaging method for doubly perturbed distribution dependent SDEs
• Doubly perturbed neutral stochastic functional equations
• Perturbed uncertain differential equations and perturbed reflected canonical process
• Double-smoothed drift estimation of jump-diffusion model
• Minimizing the time to a decision
• Doubly perturbed uncertain differential equations
• Doubly perturbed distribution dependent stochastic differential equation
• Doubly perturbed neutral diffusion processes with Markovian switching and Poisson jumps

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