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Coupling for Markovian switching jump-diffusions

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Abstract

This work is concerned with coupling for a class of Markovian switching jump-diffusion processes. The processes under consideration can be regarded as a number of jump-diffusion processes modulated by a Markovian switching device. For this class of processes, we construct a successful coupling and an order-preserving coupling.

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Authors and Affiliations

  1. School of Mathematics, Beijing Institute of Technology, Beijing, 100081, China

    Fu-bao Xi

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  1. Fu-bao Xi
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Correspondence to Fu-bao Xi.

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Supported by the National Natural Science Foundation of China (11171024).

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Xi, Fb. Coupling for Markovian switching jump-diffusions. Appl. Math. J. Chin. Univ. 28, 204–216 (2013). https://doi.org/10.1007/s11766-013-3075-0

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  • DOI: https://doi.org/10.1007/s11766-013-3075-0

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