Coupling for Markovian switching jump-diffusions |
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| Authors: | Fu-bao Xi |
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| Institution: | 1. School of Mathematics, Beijing Institute of Technology, Beijing, 100081, China
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| Abstract: | This work is concerned with coupling for a class of Markovian switching jump-diffusion processes. The processes under consideration can be regarded as a number of jump-diffusion processes modulated by a Markovian switching device. For this class of processes, we construct a successful coupling and an order-preserving coupling. |
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| Keywords: | Jump-diffusion Markovian switching successful coupling order-preserving coupling |
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