Print Email Facebook Twitter Feller property of regime-switching jump diffusion processes with hybrid jumps Title Feller property of regime-switching jump diffusion processes with hybrid jumps Author Blom, H.A.P. (TU Delft Air Transport & Operations) Date 2024 Abstract The transition kernel of an ℝ n-valued diffusion or jump diffusion process {X t} is known to satisfy the Feller property if {X t} is the solution of an SDE whose coefficients are Lipschitz continuous. This Lipschitz route to Feller falls short if {X t} is the solution of an SDE whose coefficients depend on a state-dependent regime-switching process {θ t}. In this paper it is shown that pathwise uniqueness and the Feller property are satisfied under mild conditions for a regime-switching jump diffusion process {X t, θ t} with hybrid jumps, i.e. jumps in {X t} that occur simultaneously with {θ t} switching. Subject Feller propertyhybrid jumpshybrid state Markov processItô-Skorohod stochastic differential equationstrong solution To reference this document use: http://resolver.tudelft.nl/uuid:3d80ec96-b531-4a44-8370-aa0f8351ef0f DOI https://doi.org/10.1080/07362994.2024.2313202 ISSN 0736-2994 Source Stochastic Analysis and Applications, 42 (3), 516-532 Part of collection Institutional Repository Document type journal article Rights © 2024 H.A.P. Blom Files PDF Feller_property_of_regime ... _jumps.pdf 1.76 MB Close viewer /islandora/object/uuid:3d80ec96-b531-4a44-8370-aa0f8351ef0f/datastream/OBJ/view