On limit results for a class of singularly perturbed switching diffusions

DOI10.1023/A:1017541022565MaRDI QIDQ5952037zbMATH OpenOpenAlexFDO

Authors G. Yin

Publication date 29 July 2002

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1017541022565

zbMATH Keywords

aggregationsingularly perturbed Markov processswitching diffusionweak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60)

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Cited in

(8)

• Semigroup-theoretic approach to diffusion in thin layers separated by semi-permeable membranes
• BSDEs with regime switching: weak convergence and applications
• Moment bounds and ergodicity of switching diffusion systems involving two-time-scale Markov chains
• Time-scale separation and state aggregation in singularly perturbed switching diffusions
• Modeling diffusion in thin 2D layers
• Asymptotically optimal dividend policy for regime-switching compound Poisson models
• Weak convergence and stability of functional diffusion systems with singularly perturbed regime switching
• Poisson equation and application to multi-scale SDEs with state-dependent switching

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