This chapter provides a rigorous introduction to switching diffusions. After presenting the definition of switching diffusion, this chapter establishes the existence and uniqueness of solutions to the associated stochastic differential equations under non-Lipschitz conditions, where the switching component has a countable state space. It then proceeds to examine the key properties of switching diffusions such as weak continuity, Feller and strong Feller properties. Moreover, the definitions of regularity and corresponding criteria are discussed. Furthermore, smooth dependence on initial data is demonstrated.

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Switching Diffusion

  • Hai-Dang Nguyen,
  • George Yin,
  • Chao Zhu

摘要

This chapter provides a rigorous introduction to switching diffusions. After presenting the definition of switching diffusion, this chapter establishes the existence and uniqueness of solutions to the associated stochastic differential equations under non-Lipschitz conditions, where the switching component has a countable state space. It then proceeds to examine the key properties of switching diffusions such as weak continuity, Feller and strong Feller properties. Moreover, the definitions of regularity and corresponding criteria are discussed. Furthermore, smooth dependence on initial data is demonstrated.