Title :
Stability in distribution for multidimensional jump-diffusion processes
Author :
Li, Xining ; Zhang, Qimin
Author_Institution :
Fac. of Math. & Comput. Sci., Ningxia Univ., Yinchuan, China
Abstract :
The aim of this work is to extend the previous results for continuous diffusions to multidimensional jump-diffusion processes and to obtain sufficient conditions for asymptotic stability in distribution using an appropriate stochastic Lyapunov function.
Keywords :
Lyapunov methods; asymptotic stability; multidimensional systems; pricing; stochastic processes; asymptotic stability; distribution stability; multidimensional jump diffusion process; stochastic Lyapunov function; sufficient conditions; Asymptotic stability; Computer science; Diffusion processes; Electric shock; Finance; Lyapunov method; Mathematics; Multidimensional systems; Pricing; Sufficient conditions;
Conference_Titel :
Intelligent Control and Automation, 2004. WCICA 2004. Fifth World Congress on
Print_ISBN :
0-7803-8273-0
DOI :
10.1109/WCICA.2004.1340548
