BSDEs with regime switching: weak convergence and applications
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Publication:2257512
DOI10.1016/j.jmaa.2013.05.011zbMath1306.60080MaRDI QIDQ2257512
Publication date: 25 February 2015
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.05.011
weak convergence; singular perturbation; Markov chains; backward stochastic differential equations; Meyer-Zheng topology; partial differential equation systems
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J27: Continuous-time Markov processes on discrete state spaces
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