Feller Property for a Special Hybrid Jump-Diffusion Model

Jinying Tong

Abstract and Applied Analysis, 2014, vol. 2014, 1-8

Abstract:

We consider the stochastic stability for a hybrid jump-diffusion model, where the switching here is a phase semi-Markovian process. We first transform the process into a corresponding jump-diffusion with Markovian switching by the supplementary variable technique. Then we prove the Feller and strong Feller properties of the model under some assumptions.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:412848

DOI: 10.1155/2014/412848

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