Feller Property for a Special Hybrid Jump‐Diffusion Model

Jinying Tong

Abstract and Applied Analysis, 2014, vol. 2014, issue 1

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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https://doi.org/10.1155/2014/412848

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:412848

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