Asymptotic properties of jump-diffusion processes with state-dependent switching

By Fubao Xi. 2009

67 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/f1244499ab6dff45c4876332dd5b3f1bc67a4566

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Control and Systems Engineering

1. Chao Zhu
2. George Yin
3. Dang Hai Nguyen
4. Fubao Xi

In Finance

1. Chao Zhu
2. George Yin
3. Dang Hai Nguyen
4. Fubao Xi
5. Jinghai Shao
6. Catherine Donnelly

In Modeling and Simulation

1. Chao Zhu
2. George Yin
3. Dang Hai Nguyen

Citations in the corpus

• Certain properties related to well posedness of switching diffusions (2017, methodology): “Although Feller properties for continuous-state-dependent switching diffusions have been established in the literature, see, for example, [13, 14] as well as Chapter 2 in [16], this work aims to relax the commonly used global Lipschitz condition and to provide a simple proof.”
• Jump type stochastic differential equations with non-Lipschitz coefficients: Non-confluence, Feller and strong Feller properties, and exponential ergodicity (2017, methodology): “…(local) Lipschitz conditions on the coefficients of the underlying processes; see, for example, Theorem 6.3.4 of Stroock and Varadhan (1979) for diffusion processes, Proposition 2.1 of Wang (2010) for jump diffusions and Theorems 4.5 and 5.6 of Xi (2009) for regime-switching jump diffusions.”