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The strong Feller property of switching jump-diffusion processes

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  • Xi, Fubao
  • Yin, George

Abstract

This work develops the strong Feller property for switching jump-diffusion processes. It first establishes identities of transition probabilities for diffusions, jump diffusions, and a special type of switching jump diffusion. Using these identities, the strong Feller property is then proved for a special type of switching jump diffusion. Finally, the strong Feller property is obtained for general cases by using the special switching jump diffusion with the Radon–Nikodym derivative.

Suggested Citation

  • Xi, Fubao & Yin, George, 2013. "The strong Feller property of switching jump-diffusion processes," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 761-767.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:3:p:761-767
    DOI: 10.1016/j.spl.2012.11.021
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    References listed on IDEAS

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    1. Xi, Fubao, 2009. "Asymptotic properties of jump-diffusion processes with state-dependent switching," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2198-2221, July.
    2. Reiß, M. & Riedle, M. & van Gaans, O., 2006. "Delay differential equations driven by Lévy processes: Stationarity and Feller properties," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1409-1432, October.
    3. Wu, Liming, 2001. "Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 205-238, February.
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