Asymptotic expansions of solutions of integro-differential equations for transition densities of singularly perturbed switching diffusions: Rapid switchings (Q1125308): Difference between revisions

The paper can be considered as a link of a chain of papers devoted to the transition densities of singularly perturbed switching diffusions, of current interest in manufacturing systems in which appear switching diffusions. In some papers, quoted at the end of the present one, the authors studied many aspects connected to the stated problem, going from simple to complex. For their contribution and for the presentation of the problem the introductory part of the paper is very useful for those interested in it. The authors insist on the fast switching case and their analysis is profoundly based on the probabilistic modeling of Markov processes. They formulate the singularly perturbed systems, study their asymptotic properties using an ergodic theorem about an exponential convergence to a stationary distribution. They state also the ergodic result in a general setting, interesting in its own aspect and in its applications to cases involving jump processes. In the final part of the paper they give the solution to the fast switching problem, obtaining asymptotic expansions and constructing the outer and inner expansion terms recursively.