This paper is devoted to numerical solutions for a class of jump-diffusions with regime switching. After briefly reviewing the notion of jump-diffusions with regime switching, finite-difference procedures are constructed. Under simple conditions, it is proved that the algorithm converges to the desired limit by means of a martingale problem formulation. Numerical experiments are carried out to demonstrate the performance of the algorithm
We consider the optimal portfolio and consumption problem for a jump-diffusion process with regime s...
The regime-switching Lévy model combines jump-diffusion under the form of a Lévy process, and Markov...
SIGLEAvailable from British Library Document Supply Centre-DSC:7755.0364(WP 29/98) / BLDSC - British...
© Springer International Publishing Switzerland 2014. All rights are reserved. In this paper, we pre...
This work develops numerical methods for finding optimal dividend policies to maximize the expected ...
In this paper we introduce three numerical methods to evaluate the prices of European, American, and...
AbstractThis work is concerned with a class of jump-diffusion processes with state-dependent switchi...
We study jump-diffusion processes with parameters switching at random times. Being motivated by pos...
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time...
This paper studies the optimal switching problem for a general one-dimensional diffusion with multip...
In this paper we consider the problem of calculating the quantiles of a risky position, the dynamic ...
We study the rate of weak convergence of Markov chains to diffusion processes under quite general as...
AbstractIn this paper we consider the stability for a class of jump-diffusions with Markovian switch...
This paper studies the asymptotic behavior of processes with switching. More precisely, the stabilit...
A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset p...
We consider the optimal portfolio and consumption problem for a jump-diffusion process with regime s...
The regime-switching Lévy model combines jump-diffusion under the form of a Lévy process, and Markov...
SIGLEAvailable from British Library Document Supply Centre-DSC:7755.0364(WP 29/98) / BLDSC - British...
© Springer International Publishing Switzerland 2014. All rights are reserved. In this paper, we pre...
This work develops numerical methods for finding optimal dividend policies to maximize the expected ...
In this paper we introduce three numerical methods to evaluate the prices of European, American, and...
AbstractThis work is concerned with a class of jump-diffusion processes with state-dependent switchi...
We study jump-diffusion processes with parameters switching at random times. Being motivated by pos...
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time...
This paper studies the optimal switching problem for a general one-dimensional diffusion with multip...
In this paper we consider the problem of calculating the quantiles of a risky position, the dynamic ...
We study the rate of weak convergence of Markov chains to diffusion processes under quite general as...
AbstractIn this paper we consider the stability for a class of jump-diffusions with Markovian switch...
This paper studies the asymptotic behavior of processes with switching. More precisely, the stabilit...
A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset p...
We consider the optimal portfolio and consumption problem for a jump-diffusion process with regime s...
The regime-switching Lévy model combines jump-diffusion under the form of a Lévy process, and Markov...
SIGLEAvailable from British Library Document Supply Centre-DSC:7755.0364(WP 29/98) / BLDSC - British...