Continuous-time Markov chains and applications. A two-time-scale approach

Applications of continuous-time Markov processes on discrete state spaces (60J28) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Continuous-time Markov processes on general state spaces (60J25) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35)

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The Dynkin game with regime switching and applications to pricing game options
Two-player zero-sum stochastic differential games with regime switching
Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises
An averaging principle for two-time-scale stochastic functional differential equations
Time-discretization approximation enriches continuous-time discrete-space models for animal movement
On stochastic multi-group Lotka-Volterra ecosystems with regime switching
Large deviations for Markov-modulated diffusion processes with rapid switching
Near-optimal controls of differential systems with switching and random jumps subject to fast switching and wideband noise perturbation
Strong convergence of the tamed Euler method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
Certain properties related to well posedness of switching diffusions
Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
Flows of rare events for regularly perturbed semi-Markov processes
Two-time-scale stochastic functional differential equations: inclusion of infinite delay and coupled segment processes
Moment bounds and ergodicity of switching diffusion systems involving two-time-scale Markov chains
Fast-slow-coupled stochastic functional differential equations
A survey of numerical solutions for stochastic control problems: some recent progress
Weak convergence and stability of functional diffusion systems with singularly perturbed regime switching
Hybrid competitive Lotka–Volterra ecosystems: countable switching states and two-time-scale models
Perturbed Markov chains with damping component
An optimal pricing policy under a Markov chain model
Constrained stochastic LQ control on infinite time horizon with regime switching
A Comment on the Book "Continuous-Time Markov Chains" by W.J. Anderson
A zero-sum hybrid stochastic differential game with switching controls
Moderate deviations for the Langevin equations: Strong damping and fast Markovian switching
Perturbation analysis for investment portfolios under partial information with expert opinions
Sample complexity of variance-reduced distributionally robust Q-learning
Controllable Markov jump processes. I: Optimum filtering based on complex observations
Non-Archimedean reaction-ultradiffusion equations and complex hierarchic systems
A class of generalized Ginzburg-Landau equations with random switching
On a construction of Markov models in continuous time
Two-time scale reinforcement learning and applications to production planning
Coupling and ergodic theorems for Markov chains with damping component
Limit theorems of additive functionals for regime-switching diffusions with infinite delay
Asymptotic expansions for power-exponential moments of hitting times for nonlinearly perturbed semi-Markov processes
Large deviations for regime-switching diffusions with infinite delay
An optimal mean-reversion trading rule under a Markov chain model
Almost sure and moment exponential stability of regime-switching jump diffusions
Explicit solutions for an optimal stock selling problem under a Markov chain model
Stochastic maximum principle for hybrid optimal control problems under partial observation
Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games
Fractional differential equation approach for convex optimization with convergence rate analysis
Linear quadratic nonzero-sum mean-field stochastic differential games with regime switching
Robust optimal stopping with regime switching
Numerical methods for controlled switching diffusions
Recursive impulse control problem with Markov-switching and viscosity solution of HJB equation
Analysis of singularly perturbed stochastic chemical reaction networks motivated by applications to epigenetic cell memory
Solving a class of zero-sum stopping game with regime switching
Optimal switching under a hybrid diffusion model and applications to stock trading
Milstein-type procedures for numerical solutions of stochastic differential equations with Markovian switching
Backward stochastic differential equations with Markov chains and related asymptotic properties
Mobility can drastically improve the heavy traffic performance from \(\frac{1}{1-\varrho}\) to \(\log(1/(1-\varrho))\)
Averaging for random metastable systems
Optimal stopping of two-time scale Markovian systems: analysis, numerical methods, and applications
Integration by parts and martingale representation for a Markov chain
On laws of large numbers for systems with mean-field interactions and Markovian switching
Sequences of random matrices modulated by a discrete-time Markov chain*
Near optimality of stochastic control for singularly perturbed McKean-Vlasov systems
Stochastic Kolmogorov systems driven by wideband noises
Averaging principles for SPDEs driven by fractional Brownian motions with random delays modulated by two-time-scale Markov switching processes
Two classes of time-inhomogeneous Markov chains: Analysis of the periodic case
An averaging principle for fast-slow-coupled neutral stochastic differential equations with time-varying delay
Stochastic systems arising from Markov modulated empirical measures
Diffusion approximation and stability of stochastic differential equations with singular perturbation
A general stochastic maximum principle for mean-field controls with regime switching
Singular perturbation for a two-class processor-sharing queue with impatience
Nonzero-sum impulse games with regime switching
Hybrid optimal impulse control
Decades of devotion: celebrating George Yin on his 70th birthday in the realm of stochastic fields
Weak convergence of McKean-Vlasov stochastic differential equations with two-time-scale Markov switching
Asymptotic optimality of a class of controlled non-Markov processes
Exponential stability in mean square of a singularly perturbed linear stochastic system with state-multiplicative white-noise perturbations and Markovian switching
Dynamics of a stochastic phytoplankton–toxic phytoplankton–zooplankton system under regime switching
Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
Infinite horizon discounted LQ optimal control problems for mean-field switching diffusions
Ergodicity for functional stochastic differential equations and applications
Proximal constrained optimization approach with time penalization
Infinite horizon linear-quadratic leader-follower stochastic differential games for regime switching diffusions
Asymptotic expansions for solutions of parabolic systems associated with multi-scale switching diffusions
Asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes. I.
Switching diffusions with mean-field interactions: limit results, maximum principle, and non-Markov systems
Ginzburg-Landau equations with random switching and impulsive perturbations
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Discrete-Time Markov Chains

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