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2. Switching Diffusion

  • 2025
  • OriginalPaper
  • Chapter
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Abstract

This chapter provides an in-depth introduction to switching diffusions, covering their definition and the existence and uniqueness of solutions to associated stochastic differential equations. It explores weak continuity, Feller and strong Feller properties, and the definitions of regularity and criteria ensuring it. The chapter also demonstrates smooth dependence on initial data and discusses the non-explosion and explosion of switching diffusions using Lyapunov functions. Additionally, it covers weak continuity, Feller properties, strong Feller properties, and the continuity and smooth dependence on initial data. The chapter concludes with a brief discussion on nonhomogeneous Markov processes and notes on related literature.

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Title
Switching Diffusion
Authors
Hai-Dang Nguyen
George Yin
Chao Zhu
Copyright Year
2025
DOI
https://doi.org/10.1007/978-3-031-93303-5_2
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