相关论文: Stochastic Hamiltonian Type Jump Diffusion Systems…
This work focuses on a class of regime-switching jump diffusion processes, in which the switching component has countably infinite many states or regimes. The existence and uniqueness of the underlying process are obtained by an interlacing…
This work focuses on a class of stochastic damping Hamiltonian systems with state-dependent switching, where the switching process has a countably infinite state space. After establishing the existence and uniqueness of a global weak…
This work focuses on a class of regime-switching jump diffusion processes with a countably infinite state space for the discrete component. Such processes can be used to model complex hybrid systems in which both structural changes, small…
Motivated by networked systems in random environment and controlled hybrid stochastic dynamic systems, this work focuses on modeling and analysis of a class of switching diffusions consisting of continuous and discrete components. Novel…
This work focuses on a class of regime-switching jump diffusion processes, which is a two component Markov processes $(X(t),\Lambda(t))$, where $\Lambda(t)$ is a component representing discrete events taking values in a countably infinite…
This work focuses on a class of functional stochastic Hamiltonian systems with singular coefficients and state-dependent switching, in which the switching process has a countably infinite state space. First, by Girsanov's transformation, we…
This work studies a class of switching diffusion systems where the switching component takes values in a countable state space and its transition rates depend on the history of the continuous component. Under suitable conditions, we…
In this paper we show irreducibility and the strong Feller property for transition probabilities of stochastic differential equations with jumps and monotone coefficients. Thus, exponential ergodicity and the spectral gap for the…
This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying…
In this paper we study the transition density and exponential ergodicity in total variation for an affine process on the canonical state space $\mathbb{R}_{\geq0}^{m}\times\mathbb{R}^{n}$. Under a H\"ormander-type condition for diffusion…
We establish the existence and pathwise uniqueness of regime-switching diffusion processes in an infinite state space, which could be time-inhomogeneous and state-dependent. Then the strong Feller properties of these processes are…
We investigate the existence and uniqueness of strong solutions up to an explosion time for regime-switching diffusion processes in an infinite state space. Instead of concrete conditions on coefficients, our existence and uniqueness result…
We show the strong well-posedness of SDEs driven by general multiplicative L\'evy noises with Sobolev diffusion and jump coefficients and integrable drift. Moreover, we also study the strong Feller property, irreducibility as well as the…
This paper considers multidimensional jump type stochastic differential equations with super linear growth and non-Lipschitz coefficients. After establishing a sufficient condition for nonexplosion, this paper presents sufficient…
This work focuses on recurrence and ergodicity of switching diffusions consisting of continuous and discrete components, in which the discrete component takes values in a countably infinite set and the rates of switching at current time…
In this paper, we investigate periodic solutions of regime-switching jump diffusions. We first show the well-posedness of solutions to the SDEs corresponding to the hybrid system. Then, we derive the strong Feller property and…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
This work is devoted to switching diffusions that have two components (a continuous component and a discrete component). Different from the so-called Markovian switching diffusions, in the setup, the discrete component (the switching)…
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter estimation for such processes require…