7 citations · 22 across the 6 of their papers we have counts for
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math.PR2017★ 3 cited
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.…
math.PR2017★ 7 cited
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…
math.PR2017★ 5 cited
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…