Geodesic
Distributions of functionals of switching diffusions with jumps
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 27, Tome 474 (2018), pp. 28-45
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The paper deals with the methods for computing of distributions of functionals of switching diffusions with jumps. The switching between two collections of diffusion coefficients happens at the Poisson time moments, which are independent of the initial diffusions. At the same moments diffusion can have a jumps. The process governing the switching is determined by a Markov chain. 
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A. N. Borodin. Distributions of functionals of switching diffusions with jumps. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 27, Tome 474 (2018), pp. 28-45. http://geodesic.mathdoc.fr/item/ZNSL_2018_474_a1/

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