Strong solutions and strong Feller properties for regime-switching diffusion processes in an infinite state space
Probability
2015-07-30 v2
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.
Keywords
Cite
@article{arxiv.1506.08946,
title = {Strong solutions and strong Feller properties for regime-switching diffusion processes in an infinite state space},
author = {Jinghai Shao},
journal= {arXiv preprint arXiv:1506.08946},
year = {2015}
}