Singularly perturbed diffusisons: Rapid switchings and fast diffusions.

DOI10.1023/A:1022698023010MaRDI QIDQ1807686zbMATH OpenFDO

Authors A. M. Il'in, R. Z. Khas'minskiĭ, G. Yin

Publication date 19 December 1999

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

asymptotic expansionsingular perturbationKolmogorov forward equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• Bond Market Structure in the Presence of Marked Point Processes
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Cited in

(8)

• 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
• Small perturbation of stochastic parabolic equations: A power series analysis
• Singular perturbations involving fast diffusion
• Asymptotic expansions of transition densities for hybrid jump-diffusions
• Asymptotic expansions of solutions of integro-differential equations for transition densities of singularly perturbed switching diffusions: Rapid switchings
• Asymptotic expansions of solutions for parabolic systems associated with transient switching diffusions
• Asymptotic expansions for solutions of systems of Kolmogorov backward equations of two-time-scale switching jump diffusions

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