作者：Ji, Huijie;Xi, Fubao （¹School of Mathematics and Statistics, Beijing Institute of Technology, Beijing, 100081, China;²School of Mathematics and Computer Science, Shanxi Normal University, Linfen, 041000, Shanxi Province, China）

出处：Statistics and Probability Letters 2022

摘要：This paper studies the tail behavior of jump-diffusion Cox–Ingersoll–Ross (JCIR) processes with regime-switching. We first provide the criteria of the ...

作者：Khwanchai Kunwai;Fubao Xi;George Yin;Chao Zhu （¹Department of Mathematics, Faculty of Science, Chiang Mai University, 50200, Chiang Mai, Thailand;²School of Mathematics and Statistics, Beijing Institute of Technology, 100081, Beijing, China;³Department of Mathematics, University of Connecticut, 06269, Storrs, CT, USA;⁴Department of Mathematical Sciences, University of Wisconsin-Milwaukee, 53201, Milwaukee, WI, USA）

出处：Applied Mathematics & Optimization 2022

关键词：Ergodic singular control;Vanishing discount;Abelian limit;Cesàro limit

摘要：Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control ...

作者：Yafei Zhai¹;1;Fubao Xi¹;CA2 （¹School of Mathematics and Statistics, Beijing Institute of Technology, Beijing 100081, China）

出处：Journal of Mathematical Analysis and Applications 2024

摘要：This paper investigates exponential ergodicity for several kinds of stochastic functional differential equations (SFDEs) with Markovian switching. Fir ...