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Hybrid Switching Diffusions: Properties and Applications

G. Feorge Yin and Chao Zhu
Publisher: 
Springer
Publication Date: 
2009
Number of Pages: 
395
Format: 
Hardcover
Series: 
Stocahstic Modelling and Applied Probability 63
Price: 
119.00
ISBN: 
9781441911049
Category: 
Monograph
We do not plan to review this book.

Preface.-Introduction and Motivation.-Switching Diffusion.- Recurrence.-Ergodicity.-Numerical Approximation.-Numerical Approximation to Invariant Measures.-Stability.-Stability of Switching ODE.-Invariance Principles.-Positive Recurrence: Multi-ergodic-class of Switching Processes.-Stochastic Volatility Using Regime-switching Diffusions.- Two-time-scale Switching Jump-diffusions.-Appendix.-References.

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