On Feller and strong Feller properties and exponential ergodicity of regime-switching jump diffusion processes with countable regimes
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Abstract: This work focuses on a class of regime-switching jump diffusion processes, in which the switching component has countably infinite many states or regimes. The existence and uniqueness of the underlying process are obtained by an interlacing procedure. Then the Feller and strong Feller properties of such processes are derived by the coupling method and an appropriate Radon-Nikodym derivative. Finally the paper studies exponential ergodicity of regime-switching jump-diffusion processes.
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Cited in
(42)- Exponential ergodicity under Wasserstein distance for regime-switching stochastic functional differential equations with infinite delay
- Duality in optimal consumption-investment problems with alternative data
- Stability in distribution and stabilization of switching jump diffusions
- Exponential ergodicity of a regime-switching SIS epidemic model with jumps
- Feller property of regime-switching jump diffusion processes with hybrid jumps
- Exponential ergodicity for stochastic functional differential equations with Markovian switching
- Dynamical analysis and stationary distribution of a stochastic delayed epidemic model with Lévy jump
- Strong solutions and strong Feller properties for regime-switching diffusion processes in an infinite state space
- Feller property and exponential ergodicity of diffusion processes with state-dependent switching
- Periodic solutions of hybrid jump diffusion processes
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- The Euler-Maruyama approximation of state-dependent regime switching diffusions
- Quasi-likelihood-based EM algorithm for regime-switching SDE
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- Optimal investment and consumption strategies for pooled annuity with partial information
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- Sampling from mixture distributions based on regime-switching diffusions
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