多维跳-扩散过程的稳定性(英文)

Stability for Multidimensional Jump-diffusion Processes

跳-扩散过程被广泛地应用于随机模型中,在金融数学理论中经常用来描述期权的价格.对于多维跳-扩散过程,通过构造适当的Lyapunov函数得到了指数稳定性的充分条件,这是对已有结果的完善和推广.

The jump-diffusion process is one of the useful stochastic models which appears frequently in many appliestions. In mathematical finance theory, one of the principal interest is focused on option pricing. The aim of this work is to obtain sufficient conditions for stability of multidimensional jump-diffusion processes in the sense of exponential stability. The technique employed is to construct appropriate Lyapunov functions. This result is an improvement and extension of the existing results.