Strong solutions and strong Feller properties for regime-switching diffusion processes in an infinite state space (1506.08946v2)

Published 30 Jun 2015 in math.PR

Abstract: We establish the existence and pathwise uniqueness of regime-switching diffusion processes in an infinite state space, which could be time-inhomogeneous and state-dependent. Then the strong Feller properties of these processes are investigated by using the theory of parabolic differential equations and dimensional-free Harnack inequalities.

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Authors (1)

Jinghai Shao

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