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Convergence of Solutions and Their Exit Times in Diffusion Models with Jumps

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Cybernetics and Systems Analysis Aims and scope

Abstract

We consider a diffusion model with jumps given by a stochastic differential equation with a finite Poisson measure and coefficients depending on a parameter. It is shown that, in the case of convergence of the coefficients, both the solution and its exit times converge.

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Authors and Affiliations

  1. Taras Shevchenko National University of Kiev, Kyiv, Ukraine

    A. G. Moroz & V. V. Tomashyk

Authors
  1. A. G. Moroz
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  2. V. V. Tomashyk
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Corresponding author

Correspondence to A. G. Moroz.

Additional information

Translated from Kibernetika i Sistemnyi Analiz, No. 2, pp. 144–152, March–April, 2014.

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Moroz, A.G., Tomashyk, V.V. Convergence of Solutions and Their Exit Times in Diffusion Models with Jumps. Cybern Syst Anal 50, 288–296 (2014). https://doi.org/10.1007/s10559-014-9616-6

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  • DOI: https://doi.org/10.1007/s10559-014-9616-6

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