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I came across these regime switching geometric Brownian Motions where the drift and volatility switches a number of states which is driven by a Markov Chain. Can someone please point me to a reference which talks about the generator of this type/how to compute these. The ODE's in this paper are derived using the generators, but it is not clear how they are derived.

A link to the paper

http://www.ieor.berkeley.edu/~xinguo/papers/I.A.9.pdf

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