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Asymptotic Expansions of Transition Densities for Hybrid Jump-diffusions |
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| Authors: | Yuan-jin?Liu mailto:yuanjin@math.wayne.edu" title=" yuanjin@math.wayne.edu" itemprop=" email" data-track=" click" data-track-action=" Email author" data-track-label=" " >Email author,G.?Yin |
| Affiliation: | (1) Department of Mathematics, Wayne State University, Detroit, MI 48202, USA |
| Abstract: | A class of hybrid jump diffusions modulated by a Markov chain is considered in this work.Themotivation stems from insurance risk models,and emerging applications in production planning and wirelesscommunications.The models are hybrid in that they involve both continuous dynamics and discrete events.Under suitable conditions,asymptotic expansions of the transition densities for the underlying processes aredeveloped.The formal expansions are validated and the error bounds obtained. |
| Keywords: | Markov chain jump diffusion hybrid model Poisson process asymptotic expansion |
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