scholarly journals Integral equation characterization of the Feynman–Kac formula for a regime-switching diffusion

2020 ◽  
Vol 5 ◽  
pp. 100087
Author(s):  
Adriana Ocejo
Keyword(s):  
Integral Equation ◽  
Regime Switching ◽  
Switching Diffusion

scholarly journals Stochastic Delay Population Dynamics under Regime Switching: Permanence and Asymptotic Estimation

2013 ◽  
Vol 2013 ◽  
pp. 1-11 ◽  
Author(s):  
Zheng Wu ◽  
Hao Huang ◽  
Lianglong Wang
Keyword(s):  
Population Dynamics ◽  
Random Environment ◽  
Regime Switching ◽  
Matrix Method ◽  
Volterra Model ◽  
Function Technique ◽  
Stochastic Delay ◽  
Switching Diffusion ◽  
Asymptotic Estimation ◽  
Diffusion In Random Environment

This paper is concerned with a delay Lotka-Volterra model under regime switching diffusion in random environment. Permanence and asymptotic estimations of solutions are investigated by virtue of V-function technique, M-matrix method, and Chebyshev's inequality. Finally, an example is given to illustrate the main results.

scholarly journals On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model

2012 ◽  
Vol 44 (3) ◽  
pp. 886-906 ◽  
Author(s):  
Jiaqin Wei ◽  
Rongming Wang ◽  
Hailiang Yang
Keyword(s):  
Diffusion Model ◽  
Regime Switching ◽  
Value Function ◽  
Risk Theory ◽  
System Of Differential Equations ◽  
Arrival Times ◽  
Switching Diffusion ◽  
Optimal Dividend ◽  
Optimal Dividend Strategy ◽  
The Value Function

In this paper we consider the optimal dividend strategy under the diffusion model with regime switching. In contrast to the classical risk theory, the dividends can only be paid at the arrival times of a Poisson process. By solving an auxiliary optimal problem we show that the optimal strategy is the modulated barrier strategy. The value function can be obtained by iteration or by solving the system of differential equations. We also provide a numerical example to illustrate the effects of the restriction on the timing of the payment of dividends.

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