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

DOI10.1080/17442508.2015.1019884zbMath1337.60200arXiv1702.01495OpenAlexW1960719493MaRDI QIDQ2804019

George Yin, Chao Zhu, Nicholas A. Baran

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

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

zbMATH Keywords

weak convergencearcsine lawFeynman-Kac formulaLévy processPoisson random measurepartial integro-differential equationsregime-switching jump-diffusions

Mathematics Subject Classification ID

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

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