This chapter presents an in-depth study of switching diffusions with countable state spaces, focusing on the crucial aspect of history-dependent switching. Specifically, the switching mechanism depends on the past trajectory of the continuous states. This chapter begins by demonstrating the existence and uniqueness of solutions to the associated stochastic differential equations. Then it proceeds to examine fundamental properties of these processes such as Markov, Feller, strong Feller, recurrence, ergodicity, and stability.

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Past-Dependent Switching Diffusion

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

摘要

This chapter presents an in-depth study of switching diffusions with countable state spaces, focusing on the crucial aspect of history-dependent switching. Specifically, the switching mechanism depends on the past trajectory of the continuous states. This chapter begins by demonstrating the existence and uniqueness of solutions to the associated stochastic differential equations. Then it proceeds to examine fundamental properties of these processes such as Markov, Feller, strong Feller, recurrence, ergodicity, and stability.