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

zbMATH Open1277.60127MaRDI QIDQ424648FDOQ424648

Publication date: 4 June 2012

Published in: Stochastic Modelling and Applied Probability (Search for Journal in Brave)

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zbMATH Keywords

asymptotic expansions Markovian switching time-scale separation singularly perturbed continuous time Markov chains

Mathematics Subject Classification ID

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)

Cited In (73)

Flows of rare events for regularly perturbed semi-Markov processes
Weak convergence and stability of functional diffusion systems with singularly perturbed regime switching
Moderate deviations for the Langevin equations: Strong damping and fast Markovian switching
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Limit theorems of additive functionals for regime-switching diffusions with infinite delay
Large deviations for regime-switching diffusions with infinite delay
Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games
Stochastic maximum principle for hybrid optimal control problems under partial observation
Linear quadratic nonzero-sum mean-field stochastic differential games with regime switching
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
Sequences of random matrices modulated by a discrete-time Markov chain*
Singular perturbation for a two-class processor-sharing queue with impatience
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
The Dynkin game with regime switching and applications to pricing game options
Two-player zero-sum stochastic differential games with regime switching
Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises
Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
Strong convergence of the tamed Euler method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
Time-discretization approximation enriches continuous-time discrete-space models for animal movement
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Large deviations for Markov-modulated diffusion processes with rapid switching
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Moment bounds and ergodicity of switching diffusion systems involving two-time-scale Markov chains
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Perturbed Markov chains with damping component
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A Comment on the Book "Continuous-Time Markov Chains" by W.J. Anderson
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Controllable Markov jump processes. I: Optimum filtering based on complex observations
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On a construction of Markov models in continuous time
Coupling and ergodic theorems for Markov chains with damping component
Asymptotic expansions for power-exponential moments of hitting times for nonlinearly perturbed semi-Markov processes
Almost sure and moment exponential stability of regime-switching jump diffusions
An optimal mean-reversion trading rule under a Markov chain model
Explicit solutions for an optimal stock selling problem under a Markov chain model
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Numerical methods for controlled switching diffusions
Milstein-type procedures for numerical solutions of stochastic differential equations with Markovian switching
Optimal switching under a hybrid diffusion model and applications to stock trading
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 \(\log(1/(1-\varrho))\)
Optimal stopping of two-time scale Markovian systems: analysis, numerical methods, and applications
Near optimality of stochastic control for singularly perturbed McKean-Vlasov systems
On laws of large numbers for systems with mean-field interactions and Markovian switching
Integration by parts and martingale representation for a Markov chain
Averaging principles for SPDEs driven by fractional Brownian motions with random delays modulated by two-time-scale Markov switching processes
Stochastic Kolmogorov systems driven by wideband noises
An averaging principle for fast-slow-coupled neutral stochastic differential equations with time-varying delay
Two classes of time-inhomogeneous Markov chains: Analysis of the periodic case
Stochastic systems arising from Markov modulated empirical measures
A general stochastic maximum principle for mean-field controls with regime switching
Nonzero-sum impulse games with regime switching
Hybrid optimal impulse control
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
Proximal constrained optimization approach with time penalization
Switching diffusions with mean-field interactions: limit results, maximum principle, and non-Markov systems
Ergodicity for functional stochastic differential equations and applications
Asymptotic expansions for solutions of parabolic systems associated with multi-scale switching diffusions
Title not available (Why is that?)
Asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes. I.
Discrete-Time Markov Chains
Ginzburg-Landau equations with random switching and impulsive perturbations

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