Hybrid Switching Diffusions: Properties and Applications
@inproceedings{Yin2009HybridSD,
title={Hybrid Switching Diffusions: Properties and Applications},
author={George Yin and Chao Zhu},
year={2009}
}and Motivation.- Basic Properties, Recurrence, Ergodicity.- Switching Diffusion.- Recurrence.- Ergodicity.- Numerical Solutions and Approximation.- Numerical Approximation.- Numerical Approximation to Invariant Measures.- Stability.- Stability.- Stability of Switching ODEs.- Invariance Principles.- Two-time-scale Modeling and Applications.- Positive Recurrence: Weakly Connected Ergodic Classes.- Stochastic Volatility Using Regime-Switching Diffusions.- Two-Time-Scale Switching Jump Diffusions.
408 Citations
Recurrence and Ergodicity for A Class of Regime-Switching Jump Diffusions
- Mathematics
- 2017
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…
Stability and Recurrence of Regime-Switching Diffusion Processes
- MathematicsSIAM J. Control. Optim.
- 2014
This work provides two methods to deal with switching processes in an infinite countable state space, one of which is a finite partition method based on the nonsingular M-matrix theory and another is an application of principal eigenvalue of a bilinear form.
Variational formula for the stability of regime-switching diffusion processes
- Mathematics
- 2018
The asymptotical stability in probability is studied for diffusion processes and regime-switching diffusion processes in this work. For diffusion processes, some criteria based on the integrability…
Variational formula for the stability of regime-switching diffusion processes
- Mathematics
- 2018
The asymptotical stability in probability is studied for diffusion processes and regime-switching diffusion processes in this work. For diffusion processes, some criteria based on the integrability…
Criteria for transience and recurrence of regime-switching diffusion processes *
- Mathematics
- 2014
We provide some criteria for recurrence of regime-switching diffusion processes using the theory of M-matrix and the Perron-Frobenius theorem. State-independent and state-dependent regime-switching…
Approximation of Invariant Measures for Regime-switching Diffusions
- Mathematics
- 2014
In this paper, we are concerned with long-time behavior of Euler-Maruyama schemes associated with regime-switching diffusion processes. The key contributions of this paper lie in that existence and…
Regime-Switching Jump Diffusions with Non-Lipschitz Coefficients and Countably Many Switching States: Existence and Uniqueness, Feller, and Strong Feller Properties
- MathematicsModeling, Stochastic Control, Optimization, and Applications
- 2019
This work focuses on a class of regime-switching jump diffusion processes, which is a two component Markov processes (X(t),Λ(t)), where Λ(t) is a component representing discrete events taking values…
Feller continuity, recurrence, and stabilization of regime-switching diffusions
- Mathematics49th IEEE Conference on Decision and Control (CDC)
- 2010
This work develops asymptotic properties of regime-switching diffusions of Markov processes having continuous dynamics and discrete events, and provides conditions for controlled switching diffusions in which the feedback controls ensure weak stability.
Almost Sure and pth-Moment Stability and Stabilization of Regime-Switching Jump Diffusion Systems
- MathematicsSIAM J. Control. Optim.
- 2014
The impact of various random effects on the underlying systems for almost sure and $p$th-moment stability is revealed and insight is provided on stability and stabilization of switching jump diffusion systems.