The strong Feller property of switching jump-diffusion processes

This work develops the strong Feller property for switching jump-diffusion processes. It first establishes identities of transition probabilities for diffusions, jump diffusions, and a special type of switching jump diffusion. Using these identities, the strong Feller property is then proved for a special type of switching jump diffusion. Finally, the strong Feller property is obtained for general cases by using the special switching jump diffusion with the Radon–Nikodym derivative.