A Class of Stochastic Nonlinear Delay System with Jumps
نویسندگان
چکیده
منابع مشابه
Stabilization of a Class of Stochastic Nonlinear Time-Delay Systems*
In this paper, the stabilization problem is considered for a class of nonlinear continuous stochastic systems with state delays. The purpose of this problem is to design a state feedback controller such that the closedloop system is exponentially stable (or exponentially ultimately bounded) in the mean square, for all admissible nonlinearities and time-delays. We first investigate the sufficien...
متن کاملStochastic functional population dynamics with jumps
In this paper we use a class of stochastic functional Kolmogorov-type model with jumps to describe the evolutions of population dynamics. By constructing a special Lyapunov function, we show that the stochastic functional differential equation associated with our model admits a unique global solution in the positive orthant, and, by the exponential martingale inequality with jumps, we dis...
متن کاملStability of Stochastic Delay Hybrid Systems with Jumps
The jump diffusion process has come to play an important role in many branches of science and industry. In their book [25], Øksendal and Sulem have studied the optimal control, optimal stopping and impulse control for jump diffusion processes. In mathematical finance theory, many researchers have developed option pricing theory, for example, Merton [24] was the first to use the jump process to ...
متن کاملNumerical Analysis for Stochastic Partial Differential Delay Equations with Jumps
and Applied Analysis 3 (H3) There exists L 2 > 0 satisfying h(x, y, u) 2 H ≤ L 2 (‖x‖ 2 H + y 2 H ) , (12) for each x, y ∈ H and u ∈ Z. (H4) For ξ ∈ Db F0 0],H), there exists a constantL3 > 0 such that E ( ξ (s) − ξ (t) 2 ) ≤ L 3 |t − s| 2 , t, s ∈ [−τ, 0] . (13) We now describe our Euler-Maruyama scheme for the approximation of (1). For any n ≥ 1, let π n : H → H n = span{...
متن کاملPricing Variance Swaps for Stochastic Volatilities with Delay and Jumps
We study the valuation of the variance swaps under stochastic volatility with delay and jumps. In our model, the volatility of the underlying stock price process not only incorporates jumps, which are found to be active empirically, but also exhibits past dependence: the behavior of a stock price right after a given time t depends not only on the situation at t but also on the whole past histor...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Applied Mathematics
سال: 2014
ISSN: 1110-757X,1687-0042
DOI: 10.1155/2014/458306