Hybrid Switching Diffusions

Properties and Applications

Authors:

ISBN: 978-1-4419-1104-9 (Print) 978-1-4419-1105-6 (Online)

Table of contents (12 chapters)

  1. Front Matter

    Pages 1-15

  2. No Access

    Book Chapter

    Pages 1-24

    Introduction and Motivation

  3. Basic Properties, Recurrence, Ergodicity

    1. Front Matter

      Pages 26-26

    2. No Access

      Book Chapter

      Pages 27-67

      Switching Diffusion

    3. No Access

      Book Chapter

      Pages 69-109

      Recurrence

    4. No Access

      Book Chapter

      Pages 111-134

      Ergodicity

  4. Numerical Solutions and Approximation

    1. Front Matter

      Pages 136-136

    2. No Access

      Book Chapter

      Pages 137-157

      Numerical Approximation

    3. No Access

      Book Chapter

      Pages 159-179

      Numerical Approximation to Invariant Measures

  5. Stability

    1. Front Matter

      Pages 182-182

    2. No Access

      Book Chapter

      Pages 183-215

      Stability

    3. No Access

      Book Chapter

      Pages 217-250

      Stability of Switching ODEs

    4. No Access

      Book Chapter

      Pages 251-281

      Invariance Principles

  6. Two-time-scale Modeling and Applications

    1. Front Matter

      Pages 284-284

    2. No Access

      Book Chapter

      Pages 285-300

      Positive Recurrence: Weakly Connected Ergodic Classes

    3. No Access

      Book Chapter

      Pages 301-321

      Stochastic Volatility Using Regime-Switching Diffusions

    4. No Access

      Book Chapter

      Pages 323-353

      Two-Time-Scale Switching Jump Diffusions

  7. Back Matter

    Pages 1-40