Feynman–Kac formula for regime-switching general diffusions

Abstract

The aim of this paper is to establish a version of the Feynman–Kac formula for a class of regime-switching general diffusion processes, in which the general diffusion part is a time-homogeneous Markov process (whose infinitesimal generator is the general diffusion including both Laplacian and Lévy operators). The classical method based on the Itô formula can no longer be used here due to the presence of the general diffusion process. Notably, an innovative method is introduced to deduce the infinitesimal generator of the regime-switching general diffusion process, which greatly contributes to the analyses on the global existence of solutions for the corresponding partial differential equation with external potential and forcing.