scientific article; zbMATH DE number 1113626
From MaRDI portal
Publication:4375487
zbMath0896.60039MaRDI QIDQ4375487
Publication date: 5 February 1998
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
generatorexpansionsmall parameterMarkov processforward Kolmogorov equationcomplex systemMarkov decision problem
Optimal stochastic control (93E20) Continuous-time Markov processes on discrete state spaces (60J27) Asymptotic expansions of solutions to ordinary differential equations (34E05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
Related Items (only showing first 100 items - show all)
An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models ⋮ 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 ⋮ On Near Optimal Control of Systems with Slow Observables ⋮ Averaging principle for two time-scale regime-switching processes ⋮ An integral equation approach for pricing American put options under regime-switching model ⋮ PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING ⋮ Averaging principle for non‐Lipschitz fractional stochastic evolution equations with random delays modulated by two‐time‐scale Markov switching processes ⋮ Conditional McKean-Vlasov SDEs with jumps and Markovian regime-switching: wellposedness, propagation of chaos, averaging principle ⋮ Almost sure exponential stabilization of impulsive Markov switching systems via discrete-time stochastic feedback control ⋮ Asymptotic optimality for consensus-type stochastic approximation algorithms using iterate averaging ⋮ 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 ⋮ Discrete-time approximation of Wonham filters ⋮ Perturbation analysis for denumerable Markov chains with application to queueing models ⋮ Random-direction optimization algorithms with applications to threshold controls ⋮ A two-factor stochastic production model with two time scales ⋮ Reversibility and entropy production of inhomogeneous Markov chains ⋮ Asymptotic expansion of a functional constructed from a semi-Markov random evolution in the scheme of diffusion approximation ⋮ Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time. ⋮ Singularly perturbed Markov chains with two small parameters: A matched asymptotic expansion ⋮ Stabilization of hybrid neutral stochastic differential delay equations by delay feedback control ⋮ Numerical solutions for jump-diffusions with regime switching ⋮ Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit ⋮ Double barrier option under regime-switching exponential mean-reverting process ⋮ Control of singularly perturbed Markov chains: A numerical study ⋮ A bound for the remainder term in the asymptotic expansion of a functional constructed from a semi-Markov random evolution ⋮ Asymptotic expansion of semi-Markov random evolutions ⋮ Asymptotically optimal production policies in dynamic stochastic jobshops with limited buffers ⋮ 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 ⋮ An averaging principle for stochastic evolution equations with jumps and random time delays ⋮ Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states. ⋮ On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators ⋮ 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 ⋮ Averaging of semigroups associated to diffusion processes on a simplex ⋮ Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions ⋮ On the notion of weak stability and related issues of hybrid diffusion systems ⋮ Backward stochastic differential equations with Markov chains and related asymptotic properties ⋮ Stabilization and destabilization of hybrid systems of stochastic differential equations ⋮ Razumikhin-type theorems on exponential stability of SDDEs containing singularly perturbed random processes ⋮ Asymptotic properties of multi-species Lotka-Volterra models with regime switching involving weak and strong interactions ⋮ Asymptotically optimal dividend policy for regime-switching compound Poisson models ⋮ Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model ⋮ Asymptotic expansions of solutions of integro-differential equations for transition densities of singularly perturbed switching diffusions: Rapid switchings ⋮ 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 ⋮ Remarks on the vanishing discount problem for infinite systems of Hamilton-Jacobi-Bellman equations ⋮ Some applications of linear programming formulations in stochastic control ⋮ Averaging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processes ⋮ Stochastic stabilization of hybrid differential equations ⋮ Finite-time stability theorem of stochastic nonlinear systems ⋮ Quasi-stationary asymptotics for perturbed semi-Markov processes in discrete time ⋮ Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation ⋮ Constrained stochastic estimation algorithms for a class of hybrid stock market models ⋮ Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations ⋮ Analytic approximations of queues with lightly- and heavily-correlated autoregressive service times ⋮ Asymptotic expansion and central limit theorem for multiscale piecewise-deterministic Markov processes ⋮ Stability of Markov modulated discrete-time dynamic systems. ⋮ Stability of a pure random delay system with two-time-scale Markovian switching ⋮ Discrete-time Markov chains with two-time scales and a countable state space: limit results and queueing applications ⋮ Near-optimal controls of discrete-time dynamic systems driven by singularly-perturbed Markov chains ⋮ Optimal selling rule in a regime switching Lévy market ⋮ Strong convergence rate for slow-fast stochastic differential equations with Markovian switching ⋮ 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 ⋮ Convergence of Markov chain approximation on generalized HJB equation and its applications ⋮ Pathogen evolution in switching environments: a hybrid dynamical system approach ⋮ Multiscale stochastic modelling of gene expression ⋮ Exponential stability of neutral stochastic functional differential equations with two-time-scale Markovian switching ⋮ A regime-switching model with the volatility smile for two-asset European options ⋮ A lattice method for option pricing with two underlying assets in the regime-switching model ⋮ Average and diffusion approximation of stochastic evolutionary systems in an asymptotic split state space ⋮ Singularly perturbed Markov chains: Convergence and aggregation ⋮ Option pricing in a regime-switching model using the fast Fourier transform ⋮ Singularly perturbed Markov chains: limit results and applications ⋮ Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach ⋮ Stabilization and destabilization of hybrid systems by periodic stochastic controls ⋮ NEARLY OPTIMAL CONTROL OF NONLINEAR MARKOVIAN SYSTEMS SUBJECT TO WEAK AND STRONG INTERACTIONS ⋮ Computing American option price under regime switching with rationality parameter ⋮ A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control ⋮ Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model ⋮ Strong convergence of a class of non-homogeneous Markov arrival processes to a Poisson process ⋮ A local radial basis function method for pricing options under the regime switching model ⋮ Stochastic optimal control and linear programming approach ⋮ A stochastic multiscale model for electricity generation capacity expansion ⋮ Singular perturbation for the discounted continuous control of piecewise deterministic Markov processes ⋮ A new efficient numerical method for solving American option under regime switching model ⋮ Numerical method for stationary distribution of stochastic differential equations with Markovian switching ⋮ Occupation measure functionals in merging phase space ⋮ Stability of hybrid stochastic delay systems whose discrete components have a large state space: a two-time-scale approach ⋮ Nearly-optimal asset allocation in hybrid stock investment models. ⋮ From differential to difference importance measures for Markov reliability models ⋮ Properties of solutions of stochastic differential equations with continuous-state-dependent switching ⋮ On average control generating families for singularly perturbed optimal control problems with long run average optimality criteria ⋮ Optimal stock liquidation in a regime switching model with finite time horizon ⋮ Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion
This page was built for publication:
