Feller Property for a Special Hybrid Jump-Diffusion Model
Jinying Tong
Abstract and Applied Analysis · 2014
doi:10.1155/2014/412848 (opens in a new tab)
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Abstract
We consider the stochastic stability for a hybrid jump-diffusion model, where the switching here is a phase semi-Markovian process. We first transform the process into a corresponding jump-diffusion with Markovian switching by the supplementary variable technique. Then we prove the Feller and strong Feller properties of the model under some assumptions.
Abstract licence: CC BY
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