Convergence of Solutions and Their Exit Times in Diffusion Models with Jumps

We consider a diffusion model with jumps given by a stochastic differential equation with a finite Poisson measure and coefficients depending on a parameter. It is shown that, in the case of convergence of the coefficients, both the solution and its exit times converge.

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Bibliographische Detailangaben
Veröffentlicht in:	Cybernetics and systems analysis 2014-03, Vol.50 (2), p.288-296
Hauptverfasser:	Moroz, A. G., Tomashyk, V. V.
Format:	Artikel
Sprache:	eng
Schlagworte:	Artificial Intelligence Control Convergence Cybernetics Differential equations Diffusion Mathematical analysis Mathematical models Mathematics Mathematics and Statistics Poisson distribution Processor Architectures Software Engineering/Programming and Operating Systems Stochastic models Stochasticity Studies Systems analysis Systems Theory Telematics
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Beschreibung
Zusammenfassung:	We consider a diffusion model with jumps given by a stochastic differential equation with a finite Poisson measure and coefficients depending on a parameter. It is shown that, in the case of convergence of the coefficients, both the solution and its exit times converge.
ISSN:	1060-0396 1573-8337
DOI:	10.1007/s10559-014-9616-6