We consider the class of semi-Markovmodulated jump diffusions sMMJDs whose operator turns out to be an integro-partial differential operator. We find conditions under which the solutions of this class of switching jump-diffusion processes are almost surely exponentially stable and moment exponentially stable. We also provide conditions that imply almost sure convergence of the trivial solution ...

This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving optimal stopping strategies that depend on the current regime state, and prove a number of continuity properties relating to optimal value and boundary functions. Our approach replaces the use of closed form expressio...

a r t i c l e i n f o JEL classification: C52 C53 Q47 Keywords: Oil prices Futures markets Stochastic processes Kalman filter Forecasting Stochastic process models of commodity prices are important inputs in energy investment evaluation and planning problems. In this paper, we focus on modeling and forecasting the long-term price level, since it is the dominant factor in many such applications....

We consider a random walk on a homogeneous Poisson point process with energy marks. The jump rates decay exponentially in the α-power of the jump length and depend on the energy marks via a Boltzmann–like factor. The case α = 1 corresponds to the phonon-induced Mott variable range hopping in disordered solids in the regime of strong Anderson localization. We prove that for almost every realizat...

The present investigation draws scholars' attention to the effect of exponential variable viscosity modeled by Vogel and variable permeability on stagnation point flow of Carreau Nanofluid over an electromagnetic plate through a porous medium. Brownian motion and thermophoretic diffusion mechanism are taken into consideration. An efficient fourth-order RK method along with shooting technique ar...

We study the discrete-time approximation for solutions of quadratic forward backward stochastic differential equations (FBSDEs) driven by a Brownian motion and a jump process which could be dependent. Assuming that the generator has a quadratic growth w.r.t. the variable z and the terminal condition is bounded, we prove the convergence of the scheme when the number of time steps n goes to infin...