Regime-switching diffusion processes: strong solutions and strong Feller property

被引：3

作者：

Zhang, Shao-Qin ^{[1
]}

机构：

[1] Cent Univ Finance & Econ, Sch Stat & Math, Beijing 100081, Peoples R China

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2020年 / 38卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Regime-switching diffusions; strong solutions; non-explosion; strong Feller property; singular drift; RECURRENCE; ERGODICITY; EQUATIONS; STABILITY; SOBOLEV; SDES;

D O I：

10.1080/07362994.2019.1650066

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We investigate the existence and uniqueness of strong solutions for state-dependent regime-switching diffusion processes in an infinite state space with singular coefficients. Non-explosion conditions are given by using the Zvonkin's transformation. The strong Feller property is proved by further assuming that the diffusion in each fixed environment generates a strong Feller semigroup, and our results can also be applied to irregular or degenerate situations.

引用

页码：97 / 123

页数：27

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