Periodic solutions of hybrid jump diffusion processes

Abstract: In this paper, we investigate periodic solutions of regime-switching jump diffusions. We first show the well-posedness of solutions to the SDEs corresponding to the hybrid system. Then, we derive the strong Feller property and irreducibility of the associated time-inhomogeneous semigroups. Finally, we establish the existence and uniqueness of periodic solutions. Concrete examples are presented to illustrate the results.