STRONG SOLUTIONS AND STRONG FELLER PROPERTIES FOR REGIME-SWITCHING DIFFUSION PROCESSES IN AN INFINITE STATE SPACE

被引：41

作者：

Shao, Jinghai ^{[1
]}

机构：

[1] Beijing Normal Univ, Sch Math Sci, Beijing 100875, Peoples R China

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2015年 / 53卷 / 04期

关键词：

regime-switching diffusions; strong Feller property; Harnack inequalities; pathwise uniqueness; RECURRENCE; TRANSIENCE; ERGODICITY; EQUATIONS; STABILITY;

D O I：

10.1137/15M1013584

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：2462 / 2479

页数：18

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