SIAM Journal on Control and Optimization, Vol.55, No.3, 1789-1818, 2017
ON FELLER AND STRONG FELLER PROPERTIES AND EXPONENTIAL ERGODICITY OF REGIME-SWITCHING JUMP DIFFUSION PROCESSES WITH COUNTABLE REGIMES
This work focuses on a class of regime-switching jump diffusion processes, in which the switching component has countably infinite many states or regimes. The existence and uniqueness of the underlying process are obtained by an interlacing procedure. Then the Feller and strong Feller properties of such processes are derived by the coupling method and an appropriate Radon Nikodym derivative. Finally the paper studies exponential ergodicity of regime-switching jump diffusion processes.
Keywords:jump-diffusion;switching;existence;uniqueness;Feller property;strong Feller property;exponential ergodicity