Singularly perturbed diffusisons: Rapid switchings and fast diffusions.
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Cites work
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- Bond Market Structure in the Presence of Marked Point Processes
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- Switching processes: Averaging principle, diffusion approximation and applications
- The Exit Problem for Randomly Perturbed Dynamical Systems
- Theory of Random Evolutions with Applications to Partial Differential Equations
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Cited in
(12)- Asymptotic expansions of solutions of integro-differential equations for transition densities of singularly perturbed switching diffusions: Rapid switchings
- Singularly perturbed multidimensional switching diffusions with fast and slow switchings
- Asymptotic expansions of transition densities for hybrid jump-diffusions
- Small perturbation of stochastic parabolic equations: A power series analysis
- Asymptotic properties of solutions of parabolic equations arising from transient diffusions
- Singular perturbations involving fast diffusion
- 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
- Asymptotic expansions of solutions for parabolic systems associated with transient switching diffusions
- On Transition Densities of Singularly Perturbed Diffusions with Fast and Slow Components
- Poisson equation and application to multi-scale SDEs with state-dependent switching
- Diffusion approximation for slow-fast SDEs with state-dependent switching
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