Asymptotic stability of semi-Markov modulated jump diffusions

DOI10.1155/2012/185474zbMath1260.60107WikidataQ58689547 ScholiaQ58689547MaRDI QIDQ448324

Amogh Deshpande

Publication date: 6 September 2012

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/185474

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E15: Stochastic stability in control theory

60K15: Markov renewal processes, semi-Markov processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Random differential inequalities
• Stability of stochastic differential equations with Markovian switching
• Stability of a random diffusion with linear drift
• Stability of regime-switching stochastic differential equations
• Asymptotic properties of jump-diffusion processes with state-dependent switching
• STOCHASTIC STABILIZATION OF DYNAMICAL SYSTEMS USING LÉVY NOISE
• Stability of Regime-Switching Jump Diffusions
• Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
• Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise
• Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
• Lévy Processes and Stochastic Calculus
• Risk Minimizing Option Pricing in a Regime Switching Market
• Local to global theorems in the theory of Hurewicz fibrations