On Foster–Lyapunov criteria for exponential ergodicity of regime-switching jump diffusion processes with countable regimes
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DOI: 10.1017/jpr.2021.48
Abstract: Abstract This paper is devoted to the study of regime-switching jump diffusion processes with countable regimes. It aims to establish Foster–Lyapunov-type criteria for exponential ergodicity of such processes. After recalling results concerning the petiteness of… read more here.
Keywords: jump diffusion; foster lyapunov; diffusion processes; switching jump ... See more keywords
Properties of switching jump diffusions: Maximum principles and Harnack inequalities
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DOI: 10.3150/17-bej1012
Abstract: This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with the diffusions and switching diffusions, the associated operators… read more here.
Keywords: jump diffusions; properties switching; diffusions maximum; jump ... See more keywords