Feynman–Kac formulas for regime-switching jump diffusions and their applications
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Publication:2804019
weak convergenceFeynman-Kac formulaPoisson random measurearcsine lawpartial integro-differential equationsregime-switching jump-diffusionsLévy process
Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Random measures (60G57) Integro-partial differential equations (35R09) Schrödinger and Feynman-Kac semigroups (47D08)
Abstract: This work develops Feynman-Kac formulas for a class of regime-switching jump diffusion processes, in which the jump part is driven by a Poisson random measure associated to a general L'evy process and the switching part depends on the jump diffusion processes. Under broad conditions, the connections of such stochastic processes and the corresponding partial integro-differential equations are established. Related initial, terminal, and boundary value problems are also treated. Moreover, based on weak convergence of probability measures, it is demonstrated that a sequence of random variables related to the regime-switching jump diffusion process converges in distribution to the arcsine law.
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