Asymptotic expansions of solutions of integro-differential equations for transition densities of singularly perturbed switching diffusions: Rapid switchings

DOI10.1006/JMAA.1998.6532zbMath0933.45004OpenAlexW1969848360MaRDI QIDQ1125308

A. M. Il'in, Rafail Z. Khasminskii, G. George Yin

Publication date: 4 April 2000

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmaa.1998.6532

zbMATH Keywords

integro-differential equationsMarkov processesasymptotic expansionsfast switching diffusionsingularly perturbed switching diffusions

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Diffusion processes (60J60) Asymptotics of solutions to integral equations (45M05) Theoretical approximation of solutions to integral equations (45L05)

Related Items (19)

Logistic models with regime switching: permanence and ergodicity ⋮ On stochastic multi-group Lotka-Volterra ecosystems with regime switching ⋮ Asymptotic Expansions for Solutions of Systems of Kolmogorov Backward Equations of Two-Time-Scale Switching Jump Diffusions ⋮ On the notion of weak stability and related issues of hybrid diffusion systems ⋮ Stabilization and destabilization of hybrid systems of stochastic differential equations ⋮ Asymptotic expansions for solutions of parabolic systems associated with multi-scale switching diffusions ⋮ A uniformly convergent numerical method for singularly perturbed semilinear integro-differential equations with two integral boundary conditions ⋮ Ultracontractivity for Brownian motion with Markov switching ⋮ Modeling Diffusion in Thin 2D Layers Separated by a Semipermeable Membrane ⋮ Asymptotic expansions of solutions for parabolic systems associated with transient switching diffusions ⋮ Semigroup-theoretic approach to diffusion in thin layers separated by semi-permeable membranes ⋮ Asymptotic expansions of transition densities for hybrid jump-diffusions ⋮ Permanence and ergodicity of stochastic Gilpin-Ayala population model with regime switching ⋮ Feynman–Kac formulas for regime-switching jump diffusions and their applications ⋮ Stability of Discrete-Time Regime-Switching Dynamic Systems with Delays ⋮ Singularly perturbed multidimensional switching diffusions with fast and slow switchings ⋮ Asymptotic properties of parabolic systems for null-recurrent switching diffusions ⋮ Asymptotic properties of solutions of parabolic equations arising from transient diffusions ⋮ Asymptotic expansions of solutions of systems of Kolmogorov backward equations for two-time-scale switching diffusions

Cites Work

• Semigroups of linear operators and applications to partial differential equations
• Singular perturbation methods for ordinary differential equations
• Singularly perturbed diffusisons: Rapid switchings and fast diffusions.
• Stability of regime-switching stochastic differential equations
• On Fast-Switching Dynamical Systems
• A singular perturbation approach to modeling and control of Markov chains
• Asymptotic Expansions of Singularly Perturbed Systems Involving Rapidly Fluctuating Markov Chains
• Asymptotic Series for Singularly Perturbed Kolmogorov–Fokker–Planck Equations
• Applications of functional analysis and operator theory
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