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Abstract This paper considers the martingale problem for a class of weakly coupled Levy type operators. It is shown that under some mild conditions, the martingale problem is well-posed and… Click to show full abstract
Abstract This paper considers the martingale problem for a class of weakly coupled Levy type operators. It is shown that under some mild conditions, the martingale problem is well-posed and uniquely determines a strong Markov process ( X , Λ ) . The process ( X , Λ ) , called a regime-switching jump diffusion with Levy type jumps, is further shown to possess Feller and strong Feller properties under non-Lipschitz conditions via the coupling method.
Keywords:
feller;
martingale problem;
type operators;
weakly coupled
Journal Title: Stochastic Processes and their Applications
Year Published: 2018
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Journal Title: Stochastic Processes and their Applications
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!