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arXiv · 1506.08946

Strong solutions and strong Feller properties for regime-switching diffusion processes in an infinite state space

Jinghai Shao
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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.

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Jinghai Shao. 2015-06-30. Strong solutions and strong Feller properties for regime-switching diffusion processes in an infinite state space. https://arxiv.org/abs/1506.08946

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