73 citations · 235 across the 20 of their papers we have counts for
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On the Martingale Problem and Feller and Strong Feller Properties for Weakly Coupled Lévy Type Operators
Fubao Xi, Chao Zhu
This paper considers the martingale problem for a class of weakly coupled Lévy type operators. It is shown that under some mild conditions, the martingale problem is well-posed and…
Certain Properties Related to Well Posedness of Switching Diffusions
Dang H Nguyen, George Yin, Chao Zhu
This work is devoted to switching diffusions that have two components (a continuous component and a discrete component). Different from the so-called Markovian switching diffusions…
Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions
Zhen Chao, Kai Wang, Chao Zhu +1
This work is devoted to almost sure and moment exponential stability of regime-switching jump diffusions. The Lyapunov function method is used to derive sufficient conditions for s…
Jump Type Stochastic Differential Equations with Non-Lipschitz Coefficients: Non Confluence, Feller and Strong Feller Properties, and Exponential Ergodicity
Fubao Xi, Chao Zhu
This paper considers multidimensional jump type stochastic differential equations with super linear growth and non-Lipschitz coefficients. After establishing a sufficient condition…
Feynman-Kac Formulas for Regime-Switching Jump Diffusions and their Applications
Chao Zhu, George Yin, Nicholas A. Baran
This work develops Feynman-Kac formulas for a class of regime-switching jump diffusion processes, in which the jump part is driven by a Poisson random measure associated to a gener…
On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes
Fubao Xi, Chao Zhu
This work focuses on a class of regime-switching jump diffusion processes, in which the switching component has countably infinite many states or regimes. The existence and uniquen…
A Counterintuitive Example in Inventory Management
Kurt L. Helmes, Richard H. Stockbridge, Chao Zhu
The paper \cite{helm:17} studies an inventory management problem under a long-term average cost criterion using weak convergence methods applied to average expected occupation and…