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

South China Normal University
University of Washington
Hue University
Wayne State University

科研成果: 期刊稿件 › 文章 › 同行评审

15 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	1045-1075
页数	31
期刊	Bernoulli
卷	25
期	2
DOI	https://doi.org/10.3150/17-BEJ1012
出版状态	已出版 - 5月 2019
已对外发布	是

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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.",

keywords = "Harnack inequality, Jump diffusion, Maximum principle, Regime switching",

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AU - Tran, Ky

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AB - 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.

KW - Harnack inequality

KW - Jump diffusion

KW - Maximum principle

KW - Regime switching

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Properties of switching jump diffusions: Maximum principles and Harnack inequalities

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