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Properties of switching jump diffusions: maximum principles and Harnack inequalities. (English) Zbl 1440.60075

This authors derive a maximum principle and Harnack inequalities for a class of jump-diffusion processes with regime switching. In comparison with continuous switching diffusions, the associated operators are non-local and lead to systems of integro-differential equations. Those results should be applicable in characterizing recurrence and ergodicity for switching jump diffusions.

MSC:

60J60 Diffusion processes
60J76 Jump processes on general state spaces
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