Properties of switching jump diffusions: maximum principles and Harnack inequalities (Q1740518): Difference between revisions

This authors derive a maximum principle and Harnack inequalities for a class of jump-diffusion processes with regime switching. In comparison with continuous switching diffusions, the associated operators are non-local and lead to systems of integro-differential equations. Those results should be applicable in characterizing recurrence and ergodicity for switching jump diffusions.

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reviewed by

Nicolas Privault

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zbMATH Keywords

jump diffusion

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regime switching

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Harnack inequality

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maximum principle

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MaRDI profile type

MaRDI publication profile

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cites work

Harnack's inequality for cooperative weakly coupled elliptic systems

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Harnack inequality for non-local Schrödinger operators

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Harnack inequalities for non-local operators of variable order

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Symmetric jump processes: localization, heat kernels and convergence

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Harnack inequalities for jump processes

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Regularity theory for fully nonlinear integro-differential equations

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Recurrence and ergodicity for A class of regime-switching jump diffusions

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Heat kernels for non-symmetric diffusion operators with jumps

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Heat kernel estimates for stable-like processes on \(d\)-sets.

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Heat kernel estimates for jump processes of mixed types on metric measure spaces

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A priori Hölder estimate, parabolic Harnack principle and heat kernel estimates for diffusions with jumps

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Interacting superprocesses with discontinuous spatial motion

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Potential theory for elliptic systems

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Harnack principle for weakly coupled elliptic systems

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Q5189317

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Harmonic functions for a class of integro-differential operators

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A construction of markov processes by piecing out

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Markov processes associated with certain integro-differential operators

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Q3755824

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Weak convergence methods and singularly perturbed stochastic control and filtering problems

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Optimal stopping of switching diffusions with state dependent switching rates

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Stochastic Differential Equations with Markovian Switching

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Renaissance, recollements, mélanges, ralentissement de processus de Markov

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On Hölder continuity of solutions of certain integro-differential equations

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Stochastic processes and semigroups associated with degenerate lévy generating operators

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Q5533735

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Q4040434

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Harnack inequality for some discontinuous Markov processes with a diffusion part

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Martingale problems for switched processes

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Asymptotic properties of jump-diffusion processes with state-dependent switching

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Hybrid switching diffusions. Properties and applications

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Identifiers

zbMATH Open document ID

1440.60075

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DOI

10.3150/17-BEJ1012

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1740518

@@ Property / author @@
-Xiao Shan Chen
@@ Property / author: Xiao Shan Chen / rank @@
-Normal rank
@@ Property / author @@
-Ky Quan Tran
@@ Property / author: Ky Quan Tran / rank @@
-Normal rank
@@ Property / author @@
+Xiao Shan Chen
@@ Property / author: Xiao Shan Chen / rank @@
+Normal rank
@@ Property / author @@
+Ky Quan Tran
@@ Property / author: Ky Quan Tran / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.00310
@@ Property / arXiv ID: 1810.00310 / rank @@
+Normal rank
@@ Property / cites work @@
+Harnack's inequality for cooperative weakly coupled elliptic systems
+Normal rank
@@ Property / cites work @@
+Harnack inequality for non-local Schrödinger operators
+Normal rank
@@ Property / cites work @@
+Harnack inequalities for non-local operators of variable order
+Normal rank
@@ Property / cites work @@
+Symmetric jump processes: localization, heat kernels and convergence
+Normal rank
@@ Property / cites work @@
+Harnack inequalities for jump processes
@@ Property / cites work: Harnack inequalities for jump processes / rank @@
+Normal rank
@@ Property / cites work @@
+Regularity theory for fully nonlinear integro-differential equations
+Normal rank
@@ Property / cites work @@
+Recurrence and ergodicity for A class of regime-switching jump diffusions
+Normal rank
@@ Property / cites work @@
+Heat kernels for non-symmetric diffusion operators with jumps
+Normal rank
@@ Property / cites work @@
+Heat kernel estimates for stable-like processes on \(d\)-sets.
+Normal rank
@@ Property / cites work @@
+Heat kernel estimates for jump processes of mixed types on metric measure spaces
+Normal rank
@@ Property / cites work @@
+A priori Hölder estimate, parabolic Harnack principle and heat kernel estimates for diffusions with jumps
+Normal rank
@@ Property / cites work @@
+Interacting superprocesses with discontinuous spatial motion
+Normal rank
@@ Property / cites work @@
+Potential theory for elliptic systems
@@ Property / cites work: Potential theory for elliptic systems / rank @@
+Normal rank
@@ Property / cites work @@
+Harnack principle for weakly coupled elliptic systems
+Normal rank
@@ Property / cites work @@
+Q5189317
@@ Property / cites work: Q5189317 / rank @@
+Normal rank
@@ Property / cites work @@
+Harmonic functions for a class of integro-differential operators
+Normal rank
@@ Property / cites work @@
+A construction of markov processes by piecing out
@@ Property / cites work: A construction of markov processes by piecing out / rank @@
+Normal rank
@@ Property / cites work @@
+Markov processes associated with certain integro-differential operators
+Normal rank
@@ Property / cites work @@
+Q3755824
@@ Property / cites work: Q3755824 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak convergence methods and singularly perturbed stochastic control and filtering problems
+Normal rank
@@ Property / cites work @@
+Optimal stopping of switching diffusions with state dependent switching rates
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Equations with Markovian Switching
+Normal rank
@@ Property / cites work @@
+Renaissance, recollements, mélanges, ralentissement de processus de Markov
+Normal rank
@@ Property / cites work @@
+On Hölder continuity of solutions of certain integro-differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic processes and semigroups associated with degenerate lévy generating operators
+Normal rank
@@ Property / cites work @@
+Q5533735
@@ Property / cites work: Q5533735 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4040434
@@ Property / cites work: Q4040434 / rank @@
+Normal rank
@@ Property / cites work @@
+Harnack inequality for some discontinuous Markov processes with a diffusion part
+Normal rank
@@ Property / cites work @@
+Martingale problems for switched processes
@@ Property / cites work: Martingale problems for switched processes / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of jump-diffusion processes with state-dependent switching
+Normal rank
@@ Property / cites work @@
+Hybrid switching diffusions. Properties and applications
+Normal rank
@@ Property / OpenAlex ID @@
+W2963220151
@@ Property / OpenAlex ID: W2963220151 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q128300057
@@ Property / Wikidata QID: Q128300057 / rank @@
+Normal rank