7 citations · 21 across the 5 of their papers we have counts for
6 papers
Invariant measures and Euler-Maruyama's approximations of state-dependent regime-switching diffusions
Jinghai Shao
Regime-switching processes contain two components: continuous component and discrete component, which can be used to describe a continuous dynamical system in a random environment.…
Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
Tongtong Hou, Jinghai Shao
This work is denoted to studying the tail behavior of Cox-Ingersoll-Ross (CIR) processes with regime-switching. One essential difference shown in this work between CIR process with…
Invariant Measures for Path-Dependent Random Diffusions
Jianhai Bao, Jinghai Shao, Chenggui Yuan
In this work, we are concerned with existence and uniqueness of invariant measures for path-dependent random diffusions and their time discretizations. The random diffusion here me…
Ergodicity and first passage probability of regime-switching geometric Brownian motions
Jinghai Shao
A regime-switching geometric Brownian motion is used to model a geometric Brownian motion with its coefficients changing randomly according to a Markov chain. In this work, we give…
Stability and recurrence of regime-switching diffusion processes
Jinghai Shao, Fubao Xi
We provide some criteria on the stability of regime-switching diffusion processes. Both the state-independent and state-dependent regime-switching diffusion processes with switchin…
Harnack Inequalities for Stochastic (Functional) Differential Equations with Non-Lipschitzian Coefficients
Jinghai Shao, Feng-Yu Wang, Chenggui Yuan
By using coupling arguments, Harnack type inequalities are established for a class of stochastic (functional) differential equations with multiplicative noises and non-Lipschitzian…