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May 2019 Properties of switching jump diffusions: Maximum principles and Harnack inequalities
Xiaoshan Chen, Zhen-Qing Chen, Ky Tran, George Yin
Bernoulli 25(2): 1045-1075 (May 2019). 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 for switching jump diffusions are non-local, resulting in more difficulty in treating such systems. Our study is carried out by taking into consideration of the interplay of stochastic processes and the associated systems of integro-differential equations.

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Xiaoshan Chen. Zhen-Qing Chen. Ky Tran. George Yin. "Properties of switching jump diffusions: Maximum principles and Harnack inequalities." Bernoulli 25 (2) 1045 - 1075, May 2019. https://doi.org/10.3150/17-BEJ1012

Information

Received: 1 July 2016; Revised: 1 July 2017; Published: May 2019
First available in Project Euclid: 6 March 2019

zbMATH: 07049399
MathSciNet: MR3920365
Digital Object Identifier: 10.3150/17-BEJ1012

Rights: Copyright © 2019 Bernoulli Society for Mathematical Statistics and Probability

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Vol.25 • No. 2 • May 2019
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