Martingale problems for switched processes

DOI10.1002/MANA.201200252MaRDI QIDQ5495898zbMATH OpenOpenAlexFDO

Authors Jie Ming Wang

Publication date 7 August 2014

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mana.201200252

zbMATH Keywords

martingale problemstrong Markov processswitched processweak convergence of solutions of martingale problemsweakly coupled operator

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Generalizations of martingales (60G48) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60)

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Cites work

• A construction of markov processes by piecing out
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Asymptotic properties of jump-diffusion processes with state-dependent switching
• Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
• Diffusion processes associated with L�vy generators
• Harnack principle for weakly coupled elliptic systems
• scientific article; zbMATH DE number 796445 (Why is no real title available?)
• Numerical solutions for jump-diffusions with regime switching
• Potential theory for elliptic systems
• Pseudo differential operators with negative definite symbols and the martingale problem
• The martingale problem for a class of stable-like processes
• Uniqueness in law for pure jump Markov processes

Cited in

(7)

• On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators
• Properties of switching jump diffusions: maximum principles and Harnack inequalities
• On strong Feller property, exponential ergodicity and large deviations principle for stochastic damping Hamiltonian systems with state-dependent switching
• Recurrence and ergodicity for A class of regime-switching jump diffusions
• Stabilization of regime-switching processes by feedback control based on discrete time observations
• Switched diffusion processes and systems of elliptic equations: a Dirichlet space approach
• On Feller and strong Feller properties and exponential ergodicity of regime-switching jump diffusion processes with countable regimes

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