Properties of solutions of stochastic differential equations with continuous-state-dependent switching

DOI10.1016/J.JDE.2010.08.008MaRDI QIDQ712174zbMATH OpenOpenAlexFDO

Authors G. Yin, Chao Zhu

Publication date 28 October 2010

Published in Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jde.2010.08.008

zbMATH Keywords

continuous dependencesmooth dependenceswitching diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Discrete-time Markov processes on general state spaces (60J05) Diffusion processes (60J60)

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Cites work

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• scientific article; zbMATH DE number 3456236 (Why is no real title available?)
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Cited in

(27)

• Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
• Probabilistic models of the conservation and balance laws in switching regimes
• A note on almost sure asymptotic stability of neutral stochastic delay differential equations with Markovian switching
• Recurrence for switching diffusion with past dependent switching and countable state space
• Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values
• Switching interacting particle systems: scaling limits, uphill diffusion and boundary layer
• Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching
• Jump-diffusion processes in random environments
• Asymptotic expansions for solutions of parabolic systems associated with multi-scale switching diffusions
• Certain properties related to well posedness of switching diffusions
• Modeling and analysis of switching diffusion systems: past-dependent switching with a countable state space
• Attracting and invariant sets of nonlinear stochastic neutral differential equations with delays
• Global stability of coupled Markovian switching reaction-diffusion systems on networks
• Stability of nonlinear regime-switching jump diffusion
• Sensitivity to switching rates in stochastically switched ODEs
• An MCMC computational approach for a continuous time state-dependent regime switching diffusion process
• A unifying approach to first-passage time distributions in diffusing diffusivity and switching diffusion models
• Large deviations for invariant measures of stochastic differential equations with jumps
• Randomly perturbed switching dynamics of a DC/DC converter
• A note on attraction and stability of neutral stochastic delay differential equations with Markovian switching
• A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
• Existence and uniqueness theorem for stochastic differential equations with self-exciting switching
• Random periodic solutions for a class of hybrid stochastic differential equations
• A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows
• Sampling from mixture distributions based on regime-switching diffusions
• Numerical approximations and convergence analysis of piecewise diffusion Markov processes, with application to glioma cell migration
• Strong law of large numbers and central limit theorem for stochastic lattice differential equations

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