Properties of switching jump diffusions: maximum principles and Harnack inequalities (Q1740518)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Properties of switching jump diffusions: maximum principles and Harnack inequalities |
scientific article |
Statements
Properties of switching jump diffusions: maximum principles and Harnack inequalities (English)
0 references
30 April 2019
0 references
This authors derive a maximum principle and Harnack inequalities for a class of jump-diffusion processes with regime switching. In comparison with continuous switching diffusions, the associated operators are non-local and lead to systems of integro-differential equations. Those results should be applicable in characterizing recurrence and ergodicity for switching jump diffusions.
0 references
jump diffusion
0 references
regime switching
0 references
Harnack inequality
0 references
maximum principle
0 references
0 references
0 references
0 references
