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

Abstract: 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 discrete events taking values in a countably infinite set. Considering the corresponding stochastic differential equations, our main focus is on treating those with non-Lipschitz coefficients. We first show that there exists a unique strong solution to the corresponding stochastic differential equation. Then Feller and strong Feller properties are investigated.