Two-Time-Scale Switching Jump Diffusions

  • G. George Yin
  • Chao Zhu
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 63)


This chapter is concerned with jump diffusions involving Markovian switching regimes. In the models, there are a finite set of regimes or configurations and a switching process that dictates which regime to take at any given instance. At each time t, once the configuration is determined by the switching process, the dynamics of the system follow a jump-diffusion process. It evolves until the next jump takes place. Then the post-jump location is determined and the process sojourns in the new location following the evolution of another jump-diffusion process and so on. The entire system consists of random switches and jump-diffusive motions.


Markov Chain Limit System Transition Probability Matrix Regime Switching Switching Process 
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Copyright information

© Springer-Verlag New York 2010

Authors and Affiliations

  1. 1.Department of MathematicsWayne State UniversityDetroitUSA
  2. 2.Department of Mathematical SciencesUniversity of Wisconsin-MilwaukeeMilwaukeeUSA

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