Periodic solutions of hybrid jump diffusion processes

Xiao-Xia Guo; Wei Sun

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arXiv · 1911.07303

Periodic solutions of hybrid jump diffusion processes

Xiao-Xia Guo·Wei Sun

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Abstract

In this paper, we investigate periodic solutions of regime-switching jump diffusions. We first show the well-posedness of solutions to the SDEs corresponding to the hybrid system. Then, we derive the strong Feller property and irreducibility of the associated time-inhomogeneous semigroups. Finally, we establish the existence and uniqueness of periodic solutions. Concrete examples are presented to illustrate the results.

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Xiao-Xia Guo, Wei Sun. 2019-11-13. Periodic solutions of hybrid jump diffusion processes. https://arxiv.org/abs/1911.07303

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