Doubly perturbed neutral diffusion processes with Markovian switching and Poisson jumps

DOI10.1016/J.AML.2009.07.004MaRDI QIDQ990774zbMATH OpenOpenAlexFDO

Authors De-zhi Liu, Yun-Feng Yang

Publication date 1 September 2010

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2009.07.004

zbMATH Keywords

neutralPoisson jumpsMarkovian switchingnon-Lipschitzdoubly perturbed diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 1210405 (Why is no real title available?)
• Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
• Brownian motion and random walk perturbed at extrema
• Doubly perturbed jump-diffusion processes
• Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
• Perturbed Skorohod equations and perturbed reflected diffusion processes
• Self-avoiding random walk: A Brownian motion model with local time drift
• Some calculations for doubly perturbed Brownian motion
• Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion
• Upper and lower limits of doubly perturbed Brownian motion

Cited in

(6)

• Doubly perturbed uncertain differential equations
• Multiple positive solutions of singular nonlinear Sturm-Liouville problems with Carathéodory perturbed term
• Existence of a class of doubly perturbed stochastic functional differential equations with Poisson jumps
• Doubly perturbed neutral stochastic functional equations
• Partial stochastic asymptotic stability of neutral stochastic functional differential equations with Markovian switching by boundary condition
• Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching

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