Strong solutions and strong Feller properties for regime-switching diffusion processes in an infinite state space
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Publication:2942286
DOI10.1137/15M1013584zbMATH Open1321.60155arXiv1506.08946OpenAlexW787133558MaRDI QIDQ2942286FDOQ2942286
Authors: Jinghai Shao 
Publication date: 20 August 2015
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Abstract: We establish the existence and pathwise uniqueness of regime-switching diffusion processes in an infinite state space, which could be time-inhomogeneous and state-dependent. Then the strong Feller properties of these processes are investigated by using the theory of parabolic differential equations and dimensional-free Harnack inequalities.
Full work available at URL: https://arxiv.org/abs/1506.08946
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Diffusion processes (60J60) Discrete-time Markov processes on general state spaces (60J05) Stochastic systems in control theory (general) (93E03)
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Cited In (37)
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