Singularly perturbed diffusisons: Rapid switchings and fast diffusions.

DOI10.1023/A:1022698023010zbMATH Open1033.60071MaRDI QIDQ1807686FDOQ1807686

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)

Recommendations

• Singularly perturbed multidimensional switching diffusions with fast and slow switchings
• Asymptotic expansions of solutions of integro-differential equations for transition densities of singularly perturbed switching diffusions: Rapid switchings
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• Singularly perturbed multi-scale switching diffusions

zbMATH Keywords

asymptotic expansionsingular perturbationKolmogorov forward equation

Mathematics Subject Classification ID

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

Cites Work

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Cited In (7)

• Asymptotic properties of solutions of parabolic equations arising from transient 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 of transition densities for hybrid jump-diffusions
• Asymptotic expansions of solutions of systems of Kolmogorov backward equations for two-time-scale switching diffusions
• Asymptotic Expansions for Solutions of Systems of Kolmogorov Backward Equations of Two-Time-Scale Switching Jump Diffusions
• Small perturbation of stochastic parabolic equations: A power series analysis

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