RESEARCH ARTICLE

Periodic solutions of hybrid jump diffusion processes

  • Xiaoxia GUO 1,2 ,
  • Wei SUN , 3
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  • 1. School of Applied Mathematics, Shanxi University of Finance and Economics, Taiyuan 030006, China
  • 2. School of Mathematics and Information Sciences, Guangzhou University, Guangzhou 510006, China
  • 3. Department of Mathematics and Statistics, Concordia University, Montreal H3G 1M8, Canada

Received date: 05 Oct 2020

Accepted date: 06 May 2021

Published date: 15 Jun 2021

Copyright

2021 Higher Education Press

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.

Cite this article

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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