Affordable Access

Access to the full text

A Class of Jump-Diffusion Stochastic Differential System Under Markovian Switching and Analytical Properties of Solutions

Authors
  • Liu, Xiangdong1
  • Mi, Zeyu1
  • Chen, Huida1
  • 1 Jinan University, 510632 , (China)
Type
Published Article
Journal
Journal of Systems Science and Information
Publisher
De Gruyter
Publication Date
Mar 19, 2020
Volume
8
Issue
1
Pages
17–32
Identifiers
DOI: 10.21078/JSSI-2020-017-16
Source
De Gruyter
Keywords
License
Yellow

Abstract

Our article discusses a class of Jump-diffusion stochastic differential system under Markovian switching (JD-SDS-MS). This model is generated by introducing Poisson process and Markovian switching based on a normal stochastic differential equation. Our work dedicates to analytical properties of solutions to this model. First, we give some properties of the solution, including existence, uniqueness, non-negative and global nature. Next, boundedness of first moment of the solution to this model is considered. Third, properties about coefficients of JD-SDS-MS is proved by using a right continuous markov chain. Last, we study the convergence of Euler-Maruyama numerical solutions and apply it to pricing bonds.

Report this publication

Statistics

Seen <100 times