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Periodic solutions of hybrid jump diffusion processes |
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| Authors: | Xiaoxia GUO Wei SUN |
| Institution: | 1. School of Applied Mathematics, Shanxi University of Finance and Economics, Taiyuan 030006, China2. School of Mathematics and Information Sciences, Guangzhou University, Guangzhou 510006, China3. Department of Mathematics and Statistics, Concordia University, Montreal H3G 1M8, Canada |
| Abstract: | We investigate periodic solutions of regime-switching jump diffusions. We first show the well-posedness of solutions to stochastic differential equations 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. |
| Keywords: | Hybrid system regime-switching jump diffusion periodic solution strong Feller property irreducibility |
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