Publication:3635263

zbMath1181.91321MaRDI QIDQ3635263

Yu Sun, G. George Yin

Publication date: 6 July 2009

zbMATH Keywords

asymptotic expansion; fast mean reversion; two-time scale

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

91G20: Derivative securities (option pricing, hedging, etc.)

60J27: Continuous-time Markov processes on discrete state spaces

34E05: Asymptotic expansions of solutions to ordinary differential equations