Regime-Switching Jump Diffusions with Non-Lipschitz Coefficients and Countably Many Switching States: Existence and Uniqueness, Feller, and Strong Feller Properties

Fubao Xi, George Yin, Chao Zhu

This work focuses on a class of regime-switching jump diffusion processes, which is a two component Markov processes $(X(t),\Lambda (t))$, where $\Lambda (t)$ is a component representing discret…