Periodic solutions of hybrid jump diffusion processes
Probability
2020-10-06 v2
Abstract
In this paper, we investigate periodic solutions of regime-switching jump diffusions. We first show the well-posedness of solutions to the SDEs corresponding to the hybrid system. Then, we derive the strong Feller property and irreducibility of the associated time-inhomogeneous semigroups. Finally, we establish the existence and uniqueness of periodic solutions. Concrete examples are presented to illustrate the results.
Cite
@article{arxiv.1911.07303,
title = {Periodic solutions of hybrid jump diffusion processes},
author = {Xiao-Xia Guo and Wei Sun},
journal= {arXiv preprint arXiv:1911.07303},
year = {2020}
}
Comments
This paper is a continuation paper of arXiv:1905.04843. arXiv:1905.04843 discusses periodic solutions of stochastic differential equations driven by Levy noises. The present paper uses some results and techniques of arXiv:1905.04843 to investigate periodic solutions of regime-switching jump diffusions