On Quadratic g-Evaluations/Expectations and Related Analysis |
| |
| Authors: | Jin Ma Song Yao |
| |
| Institution: | 1. Department of Mathematics , Purdue University , West Lafayette, Indiana, USAand Department of Mathematics University of Southern California Los Angeles California USAjinma@usc.edu;3. Department of Mathematics , University of Michigan , Ann Arbor, Michigan, USA |
| |
| Abstract: | This work is concerned with coupling and exponential convergence rate for a class of Markovian switching jump-diffusion processes. The processes under consideration can be thought of as a number of jump-diffusion processes modulated by a Markovian switching device. For this class of processes, we construct some order-preserving couplings. Furthermore, by virtue of the coupling results, we also provide an estimate of exponential convergence rate for the Markovian switching jump-diffusion processes without Gaussian noise. |
| |
| Keywords: | BMO Doob–Meyer decomposition Jensen's inequality Optional sampling Quadratic g-evaluations Quadratic g-expectations Reverse comparison theorem Upcrossing inequality |
|
|
