Almost sure and moment exponential stability of regime-switching jump diffusions
From MaRDI portal
(Redirected from Publication:4591239)
Abstract: This work is devoted to almost sure and moment exponential stability of regime-switching jump diffusions. The Lyapunov function method is used to derive sufficient conditions for stabilities for general nonlinear systems; which further helps to derive easily verifiable conditions for linear systems. For one-dimensional linear regime-switching jump diffusions, necessary and sufficient conditions for almost sure and th moment exponential stabilities are presented. Several examples are provided for illustration.
Recommendations
- Stability of nonlinear regime-switching jump diffusion
- Almost sure and pth-moment stability and stabilization of regime-switching jump diffusion systems
- Stability of regime-switching jump diffusion processes
- Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems
- Stability of regime-switching jump diffusions
Cites work
- A jump-diffusion model for option pricing
- Almost sure and pth-moment stability and stabilization of regime-switching jump diffusion systems
- Asymptotic evaluation of certain markov process expectations for large time, I
- Asymptotic properties of jump-diffusion processes with state-dependent switching
- Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise
- Continuous-time Markov chains and applications. A two-time-scale approach
- Continuous-time Markov jump linear systems.
- Feynman–Kac formulas for regime-switching jump diffusions and their applications
- Financial Modelling with Jump Processes
- Fitting the variance-gamma model to financial data
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 195091 (Why is no real title available?)
- Hybrid switching diffusions. Properties and applications
- Integro-differential equations for option prices in exponential Lévy models
- Lévy Processes and Stochastic Calculus
- Markov Chains
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Processes of normal inverse Gaussian type
- Stability and recurrence of regime-switching diffusion processes
- Stability for multidimensional jump-diffusion processes
- Stability of regime-switching diffusions
- Stability of regime-switching jump diffusions
- Stability of regime-switching stochastic differential equations
- Stability of stochastic differential equations with Markovian switching
- Stochastic Differential Equations with Markovian Switching
- Stock trading: an optimal selling rule
Cited in
(35)- Almost sure and moments stability of jump linear systems
- Almost sure stability and instability for switching-jump-diffusion systems with state-dependent switching
- Razumikhin method to stability of delay coupled systems with hybrid switching diffusions
- Large deviations for multi-scale regime-switching jump diffusion systems
- Stabilization of stochastic coupled systems with Lévy noise and regime switching diffusions via intermittent control with a time delay
- On exponential stability of non-autonomous stochastic differential equations with Markovian switching
- Inverse optimal control of regime-switching jump diffusions
- Exponential contraction of switching jump diffusions with a hidden Markov chain
- Stability of regime-switching processes under perturbation of transition rate matrices
- Stability of regime-switching jump diffusion processes
- Stability of regime-switching diffusions
- Almost sure and pth-moment stability and stabilization of regime-switching jump diffusion systems
- Stability of nonlinear regime-switching jump diffusion
- Asymptotic stability of semi-Markov modulated jump diffusions
- Stabilization of regime-switching processes by feedback control based on discrete time observations. II: State-dependent case
- scientific article; zbMATH DE number 1569225 (Why is no real title available?)
- On the exponential stability of switching-diffusion processes with jumps
- Stabilisation of stochastic delayed systems with Lévy noise on networks via periodically intermittent control
- Almost sure asymptotic stability for regime-switching diffusions
- Explicit criteria for moment exponential stability and instability of switching diffusions with Lévy noise
- Stability in distribution and stabilization of switching jump diffusions
- Stability verification for a class of stochastic hybrid systems by semidefinite programming
- Invariant density, Lyapunov exponent, and almost sure stability of Markovian-regime-switching linear systems
- Safety verification for regime-switching jump diffusions via barrier certificates
- Stabilisation of stochastic complex-valued time-varying coupled systems with jump diffusion via aperiodically intermittent control
- Analysis and verification of uniform moment exponential stability for stochastic hybrid systems with Poisson jump
- Stability of coupled jump diffusions and applications
- Delay tolerance for stable hybrid stochastic differential equations with Lévy noise based on Razumikhin technique
- Stabilization of complex-valued stochastic coupled systems with multiple time delays and regime-switching jump diffusion via periodically intermittent control
- Stability of stochastic delay hybrid systems with jumps
- Finite-time stability of jump diffusion system and its application in drill-bit tracking control
- Almost sure stabilization of hybrid systems by intermittent stochastic noise with jumps
- Expression of analytical solution and almost sure exponential stability for linear regime-switching jump diffusion systems
- Stabilization of coupled nonlinear systems with Lévy noise and time-varying delays
- Exponential stability of neutral stochastic functional differential equations with Poisson jumps
This page was built for publication: Almost sure and moment exponential stability of regime-switching jump diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4591239)
