most citedTail of a linear diffusion with Markov switching

62 citations

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math.PR2005

Convergence of values in optimal stopping and convergence of optimal stopping times

François Coquet, Sandrine Toldo

Under the hypothesis of convergence in probability of a sequence of càdlàg processes to a càdlàg process , we are interested in the convergence of corresponding value…

math.PR2005

Stability of solutions of BSDEs with random terminal time

Sandrine Toldo

In this paper, we study the stability of the solutions of Backward Stochastic Differential Equations (BSDE for short) with an almost surely finite random terminal time. More precis…

math.PR2005★ 62 cited

Tail of a linear diffusion with Markov switching

Benoite de Saporta, Jian-Feng Yao

Let Y be an Ornstein-Uhlenbeck diffusion governed by a stationary and ergodic Markov jump process X: dY_t=a(X_t)Y_t dt+σ(X_t) dW_t, Y_0=y_0. Ergodicity conditions for Y have been o…

math.PR2004

Convergence of values in optimal stopping

Sandrine Toldo

Under the hypothesis of convergence in probability of a sequence of càdlàg processes to a càdlàg process , we are interested in the convergence of corresponding values…

math.PR2004

Ergodicity for the stochastic Complex Ginzburg-Landau equations

Cyril Odasso

We study a stochastic complex Ginzburg--Landau (CGL) equation driven by a smooth noise in space and we establish exponential convergence of the Markovian transition semi-group towa…

math.PR2004

Natural decomposition of processes and weak Dirichlet processes

Francois Coquet, Adam Jakubowski, Jean Memin +1

A class of stochastic processes, called "weak Dirichlet processes", is introduced and its properties are investigated in detail. This class is much larger than the class of Dirichl…