{"id":"https://openalex.org/W4417490075","doi":"https://doi.org/10.1017/jpr.2025.10050","title":"Space-grid approximations of hybrid stochastic differential equations and first-passage properties","display_name":"Space-grid approximations of hybrid stochastic differential equations and first-passage properties","publication_year":2025,"publication_date":"2025-12-19","ids":{"openalex":"https://openalex.org/W4417490075","doi":"https://doi.org/10.1017/jpr.2025.10050"},"language":"en","primary_location":{"id":"doi:10.1017/jpr.2025.10050","is_oa":true,"landing_page_url":"https://doi.org/10.1017/jpr.2025.10050","pdf_url":"https://www.cambridge.org/core/services/aop-cambridge-core/content/view/CE80304F14DEC6F9F515016198ECFDEF/S0021900225100508a.pdf/div-class-title-space-grid-approximations-of-hybrid-stochastic-differential-equations-and-first-passage-properties-div.pdf","source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://www.cambridge.org/core/services/aop-cambridge-core/content/view/CE80304F14DEC6F9F515016198ECFDEF/S0021900225100508a.pdf/div-class-title-space-grid-approximations-of-hybrid-stochastic-differential-equations-and-first-passage-properties-div.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5052397914","display_name":"Hansj\u00f6rg Albrecher","orcid":"https://orcid.org/0000-0002-5434-9270"},"institutions":[{"id":"https://openalex.org/I97565354","display_name":"University of Lausanne","ror":"https://ror.org/019whta54","country_code":"CH","type":"education","lineage":["https://openalex.org/I97565354"]}],"countries":["CH"],"is_corresponding":true,"raw_author_name":"Hansjoerg Albrecher","raw_affiliation_strings":["University of Lausanne"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Lausanne","institution_ids":["https://openalex.org/I97565354"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5078536093","display_name":"Oscar Peralta","orcid":"https://orcid.org/0000-0003-1710-7747"},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Oscar Peralta","raw_affiliation_strings":["Cornell University"],"raw_orcid":"https://orcid.org/0000-0003-1710-7747","affiliations":[{"raw_affiliation_string":"Cornell University","institution_ids":["https://openalex.org/I205783295"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5052397914","https://openalex.org/A5078536093"],"corresponding_institution_ids":["https://openalex.org/I205783295","https://openalex.org/I97565354"],"apc_list":null,"apc_paid":null,"fwci":1.4053,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.8622991,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":97},"biblio":{"volume":"63","issue":"2","first_page":"623","last_page":"647"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.555400013923645,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.555400013923645,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10974","display_name":"Advanced Queuing Theory Analysis","score":0.07890000194311142,"subfield":{"id":"https://openalex.org/subfields/1404","display_name":"Management Information Systems"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11513","display_name":"stochastic dynamics and bifurcation","score":0.07729999721050262,"subfield":{"id":"https://openalex.org/subfields/3109","display_name":"Statistical and Nonlinear Physics"},"field":{"id":"https://openalex.org/fields/31","display_name":"Physics and Astronomy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.7365999817848206},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.7231000065803528},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.604200005531311},{"id":"https://openalex.org/keywords/connection","display_name":"Connection (principal bundle)","score":0.49630001187324524},{"id":"https://openalex.org/keywords/stochastic-partial-differential-equation","display_name":"Stochastic partial differential equation","score":0.45890000462532043},{"id":"https://openalex.org/keywords/weak-convergence","display_name":"Weak convergence","score":0.42320001125335693},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.4065999984741211},{"id":"https://openalex.org/keywords/approximations-of-\u03c0","display_name":"Approximations of \u03c0","score":0.4000999927520752}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8147000074386597},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.7365999817848206},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.7231000065803528},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.6144000291824341},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.604200005531311},{"id":"https://openalex.org/C13355873","wikidata":"https://www.wikidata.org/wiki/Q2920850","display_name":"Connection (principal bundle)","level":2,"score":0.49630001187324524},{"id":"https://openalex.org/C84629840","wikidata":"https://www.wikidata.org/wiki/Q16979017","display_name":"Stochastic partial differential equation","level":3,"score":0.45890000462532043},{"id":"https://openalex.org/C57945734","wikidata":"https://www.wikidata.org/wiki/Q7977941","display_name":"Weak convergence","level":3,"score":0.42320001125335693},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.4065999984741211},{"id":"https://openalex.org/C193386753","wikidata":"https://www.wikidata.org/wiki/Q1130396","display_name":"Approximations of \u03c0","level":2,"score":0.4000999927520752},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.39800000190734863},{"id":"https://openalex.org/C78045399","wikidata":"https://www.wikidata.org/wiki/Q11214","display_name":"Differential equation","level":2,"score":0.35899999737739563},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.33390000462532043},{"id":"https://openalex.org/C50897621","wikidata":"https://www.wikidata.org/wiki/Q2665508","display_name":"Hybrid system","level":2,"score":0.3239000141620636},{"id":"https://openalex.org/C95763700","wikidata":"https://www.wikidata.org/wiki/Q578985","display_name":"Convergence of random variables","level":3,"score":0.30720001459121704},{"id":"https://openalex.org/C93226319","wikidata":"https://www.wikidata.org/wiki/Q193137","display_name":"Differential (mechanical device)","level":2,"score":0.2987000048160553},{"id":"https://openalex.org/C158535547","wikidata":"https://www.wikidata.org/wiki/Q5165437","display_name":"Continuous-time stochastic process","level":3,"score":0.28630000352859497},{"id":"https://openalex.org/C48103436","wikidata":"https://www.wikidata.org/wiki/Q599031","display_name":"State (computer science)","level":2,"score":0.2831999957561493},{"id":"https://openalex.org/C48753275","wikidata":"https://www.wikidata.org/wiki/Q11216","display_name":"Numerical analysis","level":2,"score":0.2827000021934509},{"id":"https://openalex.org/C127491075","wikidata":"https://www.wikidata.org/wiki/Q7617825","display_name":"Stochastic modelling","level":2,"score":0.2797999978065491}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1017/jpr.2025.10050","is_oa":true,"landing_page_url":"https://doi.org/10.1017/jpr.2025.10050","pdf_url":"https://www.cambridge.org/core/services/aop-cambridge-core/content/view/CE80304F14DEC6F9F515016198ECFDEF/S0021900225100508a.pdf/div-class-title-space-grid-approximations-of-hybrid-stochastic-differential-equations-and-first-passage-properties-div.pdf","source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"},{"id":"pmh:oai:iris.unil.ch:iris/277987","is_oa":false,"landing_page_url":"https://iris.unil.ch/handle/iris/277987","pdf_url":null,"source":{"id":"https://openalex.org/S7407055444","display_name":"IRIS","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"journal article"}],"best_oa_location":{"id":"doi:10.1017/jpr.2025.10050","is_oa":true,"landing_page_url":"https://doi.org/10.1017/jpr.2025.10050","pdf_url":"https://www.cambridge.org/core/services/aop-cambridge-core/content/view/CE80304F14DEC6F9F515016198ECFDEF/S0021900225100508a.pdf/div-class-title-space-grid-approximations-of-hybrid-stochastic-differential-equations-and-first-passage-properties-div.pdf","source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4417490075.pdf","grobid_xml":"https://content.openalex.org/works/W4417490075.grobid-xml"},"referenced_works_count":32,"referenced_works":["https://openalex.org/W1583915406","https://openalex.org/W1969026452","https://openalex.org/W1971572301","https://openalex.org/W1972145423","https://openalex.org/W1974787817","https://openalex.org/W2015899923","https://openalex.org/W2021240540","https://openalex.org/W2026968525","https://openalex.org/W2030410241","https://openalex.org/W2041047031","https://openalex.org/W2059360133","https://openalex.org/W2060954994","https://openalex.org/W2066906122","https://openalex.org/W2072793961","https://openalex.org/W2084206021","https://openalex.org/W2096512426","https://openalex.org/W2100381474","https://openalex.org/W2103281873","https://openalex.org/W2115820292","https://openalex.org/W2145929107","https://openalex.org/W2230410437","https://openalex.org/W2507186505","https://openalex.org/W2521337350","https://openalex.org/W2616761010","https://openalex.org/W2749148164","https://openalex.org/W2765606180","https://openalex.org/W2809989782","https://openalex.org/W2968463445","https://openalex.org/W2970946087","https://openalex.org/W3047038994","https://openalex.org/W4232729308","https://openalex.org/W4238097735"],"related_works":[],"abstract_inverted_index":{"Abstract":[0],"Hybrid":[1],"stochastic":[2,14],"differential":[3],"equations":[4],"(SDEs)":[5],"are":[6,48],"a":[7,18,49,59],"useful":[8],"tool":[9],"for":[10,52,96],"modeling":[11],"continuously":[12],"varying":[13],"systems":[15],"modulated":[16],"by":[17],"random":[19],"environment,":[20],"which":[21],"may":[22],"depend":[23],"on":[24],"the":[25,34,79,104,112,115],"system":[26],"state":[27],"itself.":[28],"In":[29],"this":[30],"paper":[31],"we":[32,84,110],"establish":[33],"pathwise":[35],"convergence":[36,87],"of":[37,103,114],"solutions":[38,105],"to":[39,70,89,106],"hybrid":[40,80,107],"SDEs":[41],"using":[42],"space-grid":[43,56],"discretizations.":[44],"Though":[45],"time-grid":[46],"discretizations":[47],"classical":[50],"approach":[51],"simulation":[53],"purposes,":[54],"our":[55,86],"discretization":[57],"provides":[58],"link":[60],"with":[61],"multi-regime":[62],"Markov-modulated":[63],"Brownian":[64],"motions.":[65],"This":[66],"connection":[67],"allows":[68],"us":[69],"explore":[71],"aspects":[72],"that":[73],"have":[74],"been":[75],"largely":[76],"unexplored":[77],"in":[78],"SDE":[81],"literature.":[82],"Specifically,":[83],"exploit":[85],"result":[88],"obtain":[90],"efficient":[91],"and":[92,99],"computationally":[93],"tractable":[94],"approximations":[95,117],"first-passage":[97],"probabilities":[98],"expected":[100],"occupation":[101],"times":[102],"SDEs.":[108],"Lastly,":[109],"illustrate":[111],"effectiveness":[113],"resulting":[116],"through":[118],"numerical":[119],"examples.":[120]},"counts_by_year":[{"year":2026,"cited_by_count":1}],"updated_date":"2026-06-25T06:16:34.145877","created_date":"2025-12-19T00:00:00"}