On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes
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Publication:5266531
DOI10.1137/16M1087837zbMATH Open1366.60101arXiv1702.01048OpenAlexW2586487367WikidataQ115525629 ScholiaQ115525629MaRDI QIDQ5266531FDOQ5266531
Publication date: 7 June 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1702.01048
Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Continuous-time Markov processes on discrete state spaces (60J27)
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Cited In (26)
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- Stability in distribution and stabilization of switching jump diffusions
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- Convergence, boundedness, and ergodicity of regime-switching diffusion processes with infinite memory
- Optimal reduction of public debt under partial observation of the economic growth
- Optimal investment and consumption strategies for pooled annuity with partial information
- Inverse optimal control of regime-switching jump diffusions
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