Feller Property for a Special Hybrid Jump-Diffusion Model

Feller Property for a Special Hybrid Jump-Diffusion Model

We consider the stochastic stability for a hybrid jump-diffusion model, where the switching here is a phase semi-Markovian process. We first transform the process into a corresponding jump-diffusion with Markovian switching by the supplementary variable technique. Then we prove the Feller and strong...

Full description

Bibliographic Details
Main Author: Jinying Tong
Format: Article
Language:English
Published: Hindawi Limited 2014-01-01
Series:Abstract and Applied Analysis
Online Access:http://dx.doi.org/10.1155/2014/412848
id doaj-374d9e5f43fc4bc7a5ffd0591933d55e
record_format Article
spelling doaj-374d9e5f43fc4bc7a5ffd0591933d55e2020-11-24T21:39:46ZengHindawi LimitedAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/412848412848Feller Property for a Special Hybrid Jump-Diffusion ModelJinying Tong0School of Science, Donghua University, Shanghai 201620, ChinaWe consider the stochastic stability for a hybrid jump-diffusion model, where the switching here is a phase semi-Markovian process. We first transform the process into a corresponding jump-diffusion with Markovian switching by the supplementary variable technique. Then we prove the Feller and strong Feller properties of the model under some assumptions.http://dx.doi.org/10.1155/2014/412848
collection DOAJ
language English
format Article
sources DOAJ
author Jinying Tong
spellingShingle Jinying Tong
Feller Property for a Special Hybrid Jump-Diffusion Model
Abstract and Applied Analysis
author_facet Jinying Tong
author_sort Jinying Tong
title Feller Property for a Special Hybrid Jump-Diffusion Model
title_short Feller Property for a Special Hybrid Jump-Diffusion Model
title_full Feller Property for a Special Hybrid Jump-Diffusion Model
title_fullStr Feller Property for a Special Hybrid Jump-Diffusion Model
title_full_unstemmed Feller Property for a Special Hybrid Jump-Diffusion Model
title_sort feller property for a special hybrid jump-diffusion model
publisher Hindawi Limited
series Abstract and Applied Analysis
issn 1085-3375
1687-0409
publishDate 2014-01-01
description We consider the stochastic stability for a hybrid jump-diffusion model, where the switching here is a phase semi-Markovian process. We first transform the process into a corresponding jump-diffusion with Markovian switching by the supplementary variable technique. Then we prove the Feller and strong Feller properties of the model under some assumptions.
url http://dx.doi.org/10.1155/2014/412848
work_keys_str_mv AT jinyingtong fellerpropertyforaspecialhybridjumpdiffusionmodel
_version_ 1725929402141769728

Similar Items