On Feller and Strong Feller Properties and Irreducibility of Regime-Switching Jump Diffusion Processes with Countable Regimes
| Autor: | Chao Zhu, Khwanchai Kunwai |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
0209 industrial biotechnology
Work (thermodynamics) Class (set theory) Probability (math.PR) Jump diffusion 02 engineering and technology Computer Science Applications Stochastic differential equation 020901 industrial engineering & automation Control and Systems Engineering Hybrid system FOS: Mathematics 0202 electrical engineering electronic engineering information engineering Countable set Irreducibility State space 020201 artificial intelligence & image processing Statistical physics 60J27 60J60 60J75 60G51 Analysis Mathematics - Probability Mathematics |
| Popis: | This work focuses on a class of regime-switching jump diffusion processes with a countably infinite state space for the discrete component. Such processes can be used to model complex hybrid systems in which both structural changes, small fluctuations as well as big spikes coexist and are intertwined. The paper provides weak sufficient conditions for Feller and strong Feller properties and irreducibility for such processes. The conditions are presented in terms of the coefficients of the associated stochastic differential equations. |
| Databáze: | OpenAIRE |
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