Frontiers of Mathematics in China >
Periodic solutions of hybrid jump diffusion processes
Received date: 05 Oct 2020
Accepted date: 06 May 2021
Published date: 15 Jun 2021
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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.
Xiaoxia GUO , Wei SUN . Periodic solutions of hybrid jump diffusion processes[J]. Frontiers of Mathematics in China, 2021 , 16(3) : 705 -725 . DOI: 10.1007/s11464-021-0937-2
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