Numerical solutions of regime-switching jump diffusions

DOI10.1016/j.amc.2014.07.052zbMath1335.60130OpenAlexW1973384366MaRDI QIDQ278452

George Yin, Tuan Anh Hoang, Fu-bao Xi

Publication date: 2 May 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.07.052

zbMATH Keywords

stochastic differential equationnumerical solutionjump diffusionrandom switching

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items

Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching, Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes, Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise, Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions, Asymptotic stability in distribution of stochastic systems with semi-Markovian switching, Tamed-Euler method for hybrid stochastic differential equations with Markovian switching, Switching-dominated stability of numerical solutions for hybrid neutral stochastic differential delay equations, Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions, A regime-switching model with jumps and its application to bond pricing and insurance

Cites Work

• Unnamed Item
• Unnamed Item
• Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
• Hybrid switching diffusions. Properties and applications
• Weak convergence methods and singularly perturbed stochastic control and filtering problems
• Autoregressive conditional heteroskedasticity and changes in regime
• Almost sure stability of linear stochastic differential equations with jumps
• Asymptotic properties of jump-diffusion processes with state-dependent switching
• On the stability of jump-diffusions with Markovian switching
• Approximation Methods for Hybrid Diffusion Systems with State-Dependent Switching Processes: Numerical Algorithms and Existence and Uniqueness of Solutions
• Stability of Regime-Switching Jump Diffusions
• Lévy Processes and Stochastic Calculus
• Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
• Threshold-Type Policies for Real Options Using Regime-Switching Models
• Numerical solutions for jump-diffusions with regime switching
• Stochastic Differential Equations with Markovian Switching