Properties of switching jump diffusions: Maximum principles and Harnack inequalities

Xiaoshan Chen; Zhen Qing Chen; Ky Tran; George Yin

doi:10.3150/17-BEJ1012

Properties of switching jump diffusions: Maximum principles and Harnack inequalities

Xiaoshan Chen, Zhen Qing Chen, Ky Tran, George Yin

Research output: Contribution to journal › Article › peer-review

14 Citations (Scopus)

Abstract

This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with the diffusions and switching diffusions, the associated operators for switching jump diffusions are non-local, resulting in more difficulty in treating such systems. Our study is carried out by taking into consideration of the interplay of stochastic processes and the associated systems of integro-differential equations.

Original language	English
Pages (from-to)	1045-1075
Number of pages	31
Journal	Bernoulli
Volume	25
Issue number	2
DOIs	https://doi.org/10.3150/17-BEJ1012
Publication status	Published - May 2019
Externally published	Yes

Keywords

Harnack inequality
Jump diffusion
Maximum principle
Regime switching

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10.3150/17-BEJ1012

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AU - Tran, Ky

AU - Yin, George

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Properties of switching jump diffusions: Maximum principles and Harnack inequalities

Abstract

Keywords

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