Hybrid Switching Diffusions: Properties and Applications

by G. George Yin and Chao Zhu

Book Overview

and Motivation.- Basic Properties, Recurrence, Ergodicity.- Switching Diffusion.- Recurrence.- Ergodicity.- Numerical Solutions and Approximation.- Numerical Approximation.- Numerical Approximation to Invariant Measures.- Stability.- Stability.- Stability of Switching ODEs.- Invariance Principles.- Two-time-scale Modeling and Applications.- Positive Recurrence: Weakly Connected Ergodic Classes.- Stochastic Volatility Using Regime-Switching Diffusions.-...

• Format: Paperback
• Language: English
• ISBN: 1461424704
• ISBN13: 9781461424703
• Release Date: February 2012
• Publisher: Springer
• Length: 398 Pages
• Weight: 1.28 lbs.
• Dimensions: 0.8" x 6.1" x 9.2"