Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions
From MaRDI portal
Publication:4591239
DOI10.1137/16M1082470zbMath1374.60151arXiv1706.03684WikidataQ115525633 ScholiaQ115525633MaRDI QIDQ4591239
Yanling Zhu, Chao Zhu, Zhen Chao, Kai Wang
Publication date: 13 November 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.03684
Lyapunov exponentalmost sure exponential stabilityPoisson random measure\(p\)th moment exponential stabilityregime-switching jump diffusion
Related Items
Explicit criteria for moment exponential stability and instability of switching diffusions with Lévy noise, 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, 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, Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations II: State-Dependent Case, Stability Verification for a Class of Stochastic Hybrid Systems by Semidefinite Programming, Exponential contraction of switching jump diffusions with a hidden Markov chain, Stability of regime-switching jump diffusion processes, Stabilisation of stochastic delayed systems with Lévy noise on networks via periodically intermittent control, Razumikhin method to stability of delay coupled systems with hybrid switching diffusions, Large deviations for multi-scale regime-switching jump diffusion systems
Cites Work
- Unnamed Item
- Unnamed Item
- A Jump-Diffusion Model for Option Pricing
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Continuous-time Markov chains and applications. A two-time-scale approach
- Hybrid switching diffusions. Properties and applications
- Processes of normal inverse Gaussian type
- Stability of stochastic differential equations with Markovian switching
- Stability for multidimensional jump-diffusion processes
- Stability of regime-switching stochastic differential equations
- Stability of regime-switching diffusions
- Asymptotic properties of jump-diffusion processes with state-dependent switching
- Integro-differential equations for option prices in exponential Lévy models
- Stock Trading: An Optimal Selling Rule
- Feynman–Kac formulas for regime-switching jump diffusions and their applications
- Almost Sure and $p$th-Moment Stability and Stabilization of Regime-Switching Jump Diffusion Systems
- Stability of Regime-Switching Jump Diffusions
- Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise
- Lévy Processes and Stochastic Calculus
- Asymptotic evaluation of certain markov process expectations for large time, I
- Markov Chains
- Continuous-Time Markov Jump Linear Systems
- Financial Modelling with Jump Processes
- Fitting the variance-gamma model to financial data
- Stability and Recurrence of Regime-Switching Diffusion Processes
- Stochastic Differential Equations with Markovian Switching
