Asymptotic Expansions for Solutions of Systems of Kolmogorov Backward Equations of Two-Time-Scale Switching Jump Diffusions

DOI10.1080/03610926.2011.581166zbMath1315.60090MaRDI QIDQ2890077

Dung Tien Nguyen, G. George Yin

Publication date: 8 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.581166

zbMATH Keywords

asymptotic expansion; diffusion process; jump process; two-time scale

Mathematics Subject Classification ID

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

35B25: Singular perturbations in context of PDEs

60J60: Diffusion processes

35C20: Asymptotic expansions of solutions to PDEs

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