On Feller and Strong Feller Properties and Irreducibility of Regime-Switching Jump Diffusion Processes with Countable Regimes

Abstract: This work focuses on a class of regime-switching jump diffusion processes with a countably infinite state space for the discrete component. Such processes can be used to model complex hybrid systems in which both structural changes, small fluctuations as well as big spikes coexist and are intertwined. The paper provides weak sufficient conditions for Feller and strong Feller properties and irreducibility for such processes. The conditions are presented in terms of the coefficients of the associated stochastic differential equations.