Stability for multidimensional jump-diffusion processes
نویسندگان
چکیده
منابع مشابه
Stability Properties of Constrained Jump - Diffusion Processes
We consider a class of jump-diffusion processes, constrained to a polyhedral cone G ⊂ IRn, where the constraint vector field is constant on each face of the boundary. The constraining mechanism corrects for “attempts” of the process to jump outside the domain. Under Lipschitz continuity of the Skorohod map Γ, it is known that there is a cone C such that the image Γφ of a deterministic linear tr...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1999
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(98)00078-7