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.