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Stability for multidimensional jump-diffusion processes

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  • Wee, In-Suk

Abstract

The aim of this work is to obtain sufficient conditions for stability of multidimensional jump-diffusion processes in the sense of stability in distribution and stability at the equilibrium solution. The technique employed is to construct appropriate Lyapunov functions.

Suggested Citation

  • Wee, In-Suk, 1999. "Stability for multidimensional jump-diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 80(2), pages 193-209, April.
    • Handle: RePEc:eee:spapps:v:80:y:1999:i:2:p:193-209
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    References listed on IDEAS

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    1. Aase, Knut Kristian, 1986. "Ruin problems and myopic portfolio optimization in continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 21(2), pages 213-227, February.
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    3. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
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    5. Mulinacci, Sabrina, 1996. "An approximation of American option prices in a jump-diffusion model," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 1-17, March.
    6. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    7. Aase, Knut Kristian, 1984. "Optimum portfolio diversification in a general continuous-time model," Stochastic Processes and their Applications, Elsevier, vol. 18(1), pages 81-98, September.
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    Cited by:

    1. Xi, Fubao, 2009. "Asymptotic properties of jump-diffusion processes with state-dependent switching," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2198-2221, July.

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