Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space
Jinghai Shao · SIAM Journal on Control and Optimization · 2015
We establish the existence and pathwise uniqueness of regime-switching diffusion processes in an infinite state space, which could be time-inhomogeneous and state-dependent. Then the strong Feller properties of these processes are investigated by using the theory of parabolic differential equations and dimensional-free Harnack inequalities.