The strong Feller property of switching jump-diffusion processes

Fubao Xi and George Yin

Statistics & Probability Letters, 2013, vol. 83, issue 3, 761-767

Abstract: This work develops the strong Feller property for switching jump-diffusion processes. It first establishes identities of transition probabilities for diffusions, jump diffusions, and a special type of switching jump diffusion. Using these identities, the strong Feller property is then proved for a special type of switching jump diffusion. Finally, the strong Feller property is obtained for general cases by using the special switching jump diffusion with the Radon–Nikodym derivative.

Keywords: Switching jump diffusion; Strong Feller property; Radon–Nikodym derivative (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:3:p:761-767

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DOI: 10.1016/j.spl.2012.11.021

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