Feynman–Kac formulas for regime-switching jump diffusions and their applications
By Chao Zhu, George Yin, Nicholas A. Baran. 2015
46 citations recorded by the source corpus.
This work develops Feynman–Kac formulas for a class of regime-switching jump diffusion processes, in which the jump part is driven by a Poisson random measure associated with a general Lévy process and the switching part depends on the jump diffusion processes. Under broad conditions, the connections of such stochastic processes and the corresponding partial integro-differential equations are established. Related initial, terminal and boundary value problems are also treated. Moreover, based on weak convergence of probability measures, it is demonstrated that a sequence of random variables related to the regime-switching jump diffusion process converges in distribution to the arcsine law.
Subfields: Computational Theory and Mathematics, Finance, Modeling and Simulation
View Paper: https://www.semanticscholar.org/paper/e3708e0975ccfa854ca8432ac44240590dd6f873
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In Computational Theory and Mathematics
In Finance
In Modeling and Simulation
Citations in the corpus
- Jump type stochastic differential equations with non-Lipschitz coefficients: Non-confluence, Feller and strong Feller properties, and exponential ergodicity (2017, background): “Furthermore, by virtue of Zhu et al. (2015), we have E[supt∈[0,T ] |Y (t)|2] ≤ K, where K is a positive constant independent of t0 and R.”