scientific article; zbMATH DE number 1113626
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(only showing first 100 items - show all)- On competitive Lotka-Volterra model in random environments
- Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time
- Asymptotic expansions of solutions of integro-differential equations for transition densities of singularly perturbed switching diffusions: Rapid switchings
- Structural properties of Markov chains with weak and strong interactions
- Singularly perturbed multidimensional switching diffusions with fast and slow switchings
- Optimal filtering of discrete-time hybrid systems
- A continuous-time Markov chain under the influence of a regulating point process and applications in stochastic models with catastrophes
- Constrained stochastic estimation algorithms for a class of hybrid stock market models
- Stability of Markov modulated discrete-time dynamic systems.
- Near-optimal controls of discrete-time dynamic systems driven by singularly-perturbed Markov chains
- Average and diffusion approximation of stochastic evolutionary systems in an asymptotic split state space
- Occupation measures of singularly perturbed Markov chains with absorbing states
- Hierarchical production control in a stochastic \(N\)-machine flowshop with long-run average cost.
- Hierarchical production control in dynamic stochastic jobshops with long-run average cost
- On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators
- Backward stochastic differential equations with Markov chains and related asymptotic properties
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Averaging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processes
- Quasi-stationary asymptotics for perturbed semi-Markov processes in discrete time
- Exponential stability of neutral stochastic functional differential equations with two-time-scale Markovian switching
- Numerical method for stationary distribution of stochastic differential equations with Markovian switching
- Asymptotic expansions of transition densities for hybrid jump-diffusions
- Singularly perturbed diffusisons: Rapid switchings and fast diffusions.
- Exponential bounds for discrete-time singularly perturbed Markov chains
- Asymptotic properties of solutions of parabolic equations arising from transient diffusions
- Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states.
- Moment exponential stability of random delay systems with two-time-scale Markovian switching
- Large time behavior of weakly coupled systems of first-order Hamilton-Jacobi equations
- Some applications of linear programming formulations in stochastic control
- Stochastic stabilization of hybrid differential equations
- Analytic approximations of queues with lightly- and heavily-correlated autoregressive service times
- Singularly perturbed Markov chains: Convergence and aggregation
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- A local radial basis function method for pricing options under the regime switching model
- A new efficient numerical method for solving American option under regime switching model
- On average control generating families for singularly perturbed optimal control problems with long run average optimality criteria
- Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion
- A natural extension of Markov processes and applications to singular SDEs
- Optimal oil production and taxation under mean reverting jump diffusion models
- Stabilization for hybrid stochastic systems by aperiodically intermittent control
- Convergence of martingale solutions to the hybrid slow-fast system
- Solving the cost to go with time penalization using the Lagrange optimization approach
- An averaging principle for stochastic evolution equations with jumps and random time delays
- Averaging of semigroups associated to diffusion processes on a simplex
- Asymptotic properties of multi-species Lotka-Volterra models with regime switching involving weak and strong interactions
- Stabilization and destabilization of hybrid systems by periodic stochastic controls
- A stochastic multiscale model for electricity generation capacity expansion
- From differential to difference importance measures for Markov reliability models
- Averaging and linear programming in some singularly perturbed problems of optimal control
- Spatio-temporal hybrid (PDMP) models: central limit theorem and Langevin approximation for global fluctuations. Application to electrophysiology
- Razumikhin-type theorems on moment exponential stability of functional differential equations involving two-time-scale Markovian switching
- Convergence of Markov chain approximation on generalized HJB equation and its applications
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Singularly perturbed Markov chains: limit results and applications
- Strong convergence of a class of non-homogeneous Markov arrival processes to a Poisson process
- Optimal stock liquidation in a regime switching model with finite time horizon
- A numerical method to approximate optimal production and maintenance plan in a flexible manufacturing system
- On the notion of weak stability and related issues of hybrid diffusion systems
- Remarks on the vanishing discount problem for infinite systems of Hamilton-Jacobi-Bellman equations
- Strong convergence rate for slow-fast stochastic differential equations with Markovian switching
- NEARLY OPTIMAL CONTROL OF NONLINEAR MARKOVIAN SYSTEMS SUBJECT TO WEAK AND STRONG INTERACTIONS
- Multi-time scales in singularly perturbed forward equations for continuous-time Markov chains
- A recombining tree method for option pricing with state-dependent switching rates
- Asymptotic expansions of solutions of systems of Kolmogorov backward equations for two-time-scale switching diffusions
- Stability of singular jump-linear systems with a large state space: A two-time-scale approach
- Asymptotic expansions for solutions of systems of Kolmogorov backward equations of two-time-scale switching jump diffusions
- Asymptotic expansions for moment functionals of perturbed discrete time semi-Markov processes
- Asymptotics for quasi-stationary distributions of perturbed discrete time semi-Markov processes
- Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
- Saddlepoint approximations to option price in a regime-switching model
- Spatio-temporal averaging for a class of hybrid systems and application to conductance-based neuron models
- Bounds of ruin probability for regime-switching models using time scale separation
- Discrete-time Markov chains with two-time scales and a countable state space: limit results and queueing applications
- Occupation measure functionals in merging phase space
- Asymptotic Properties of a Mean-Field Model with a Continuous-State-Dependent Switching Process
- Stability of Discrete-Time Regime-Switching Dynamic Systems with Delays
- Stability of random-switching systems of differential equations
- Double barrier option under regime-switching exponential mean-reverting process
- Asymptotic expansion of semi-Markov random evolutions
- Razumikhin-type theorems on exponential stability of SDDEs containing singularly perturbed random processes
- On some problems arising in asymptotic analysis of Markov processes with singularly perturbed generators
- Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations
- Asymptotic expansion and central limit theorem for multiscale piecewise-deterministic Markov processes
- A formula for singular perturbations of Markov chains
- Stability of a pure random delay system with two-time-scale Markovian switching
- Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit
- Control of singularly perturbed Markov chains: A numerical study
- Pathogen evolution in switching environments: a hybrid dynamical system approach
- Multiscale stochastic modelling of gene expression
- Nonlinearly perturbed stochastic processes and systems
- An econometric model of the term structure of interest rates under regime-switching risk
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
- A regime-switching model with the volatility smile for two-asset European options
- Perturbation analysis for denumerable Markov chains with application to queueing models
- Asymptotic expansion of a functional constructed from a semi-Markov random evolution in the scheme of diffusion approximation
- scientific article; zbMATH DE number 843059 (Why is no real title available?)
- Asymptotic Expansions of Singularly Perturbed Systems Involving Rapidly Fluctuating Markov Chains
- Perturbation analysis of continuous‐time absorbing Markov chains
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Long-term strategic asset allocation with inflation risk and regime switching
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