Feynman–Kac formulas for regime-switching jump diffusions and their applications

DOI10.1080/17442508.2015.1019884zbMATH Open1337.60200arXiv1702.01495OpenAlexW1960719493MaRDI QIDQ2804019FDOQ2804019

Authors: Chao Zhu, George Yin, Nicholas A. Baran 

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Abstract: This work develops Feynman-Kac formulas for a class of regime-switching jump diffusion processes, in which the jump part is driven by a Poisson random measure associated to a general L'evy process and the switching part depends on the jump diffusion processes. Under broad conditions, the connections of such stochastic processes and the corresponding partial integro-differential equations are established. Related initial, terminal, and boundary value problems are also treated. Moreover, based on weak convergence of probability measures, it is demonstrated that a sequence of random variables related to the regime-switching jump diffusion process converges in distribution to the arcsine law.

Full work available at URL: https://arxiv.org/abs/1702.01495

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zbMATH Keywords

weak convergenceFeynman-Kac formulaPoisson random measurearcsine lawpartial integro-differential equationsregime-switching jump-diffusionsLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Random measures (60G57) Integro-partial differential equations (35R09) Schrödinger and Feynman-Kac semigroups (47D08)

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Cited In (21)

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• Large deviations for multi-scale regime-switching jump diffusion systems
• Duality in optimal consumption-investment problems with alternative data
• Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
• Razumikhin method to stability of delay coupled systems with hybrid switching diffusions
• On Feller and strong Feller properties and exponential ergodicity of regime-switching jump diffusion processes with countable regimes
• Numerical solutions of optimal stopping problems for a class of hybrid stochastic systems
• On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators
• Deep neural networks for probability of default modelling
• Safety verification for regime-switching jump diffusions via barrier certificates
• Exit Problems as the Generalized Solutions of Dirichlet Problems
• Kac's rescaling for jump-telegraph processes
• Almost sure and moment exponential stability of regime-switching jump diffusions
• Feynman-Kac theorem in random environments and partial integro-differential equations
• Feynman-Kac for functional jump diffusions with an application to credit value adjustment
• Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment
• Explicit criteria for moment exponential stability and instability of switching diffusions with Lévy noise
• Mean-variance portfolio selection with random investment horizon
• Periodic homogenization of a class of weakly coupled systems of linear PDEs
• Upper and Lower Solutions for Regime-Switching Diffusions with Applications in Financial Mathematics
• Jump type stochastic differential equations with non-Lipschitz coefficients: non-confluence, Feller and strong Feller properties, and exponential ergodicity

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