Properties of switching jump diffusions: maximum principles and Harnack inequalities (Q1740518)
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| Language | Label | Description | Also known as |
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| English | Properties of switching jump diffusions: maximum principles and Harnack inequalities |
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Properties of switching jump diffusions: maximum principles and Harnack inequalities (English)
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30 April 2019
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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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jump diffusion
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regime switching
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Harnack inequality
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maximum principle
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