scientific article; zbMATH DE number 1113626

zbMATH Open0896.60039MaRDI QIDQ4375487FDOQ4375487

G. Yin, Q. Zhang

Publication date: 5 February 1998

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Markov processgeneratorcomplex systemexpansionsmall parameterforward Kolmogorov equationMarkov decision problem

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Continuous-time Markov processes on discrete state spaces (60J27) Optimal stochastic control (93E20) Asymptotic expansions of solutions to ordinary differential equations (34E05)

Cited In (only showing first 100 items - show all)

• Asymptotically optimal production policies in dynamic stochastic jobshops with limited buffers
• Averaging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processes
• Singular perturbation for the discounted continuous control of piecewise deterministic Markov processes
• Stability of a pure random delay system with two-time-scale Markovian switching
• Long-term strategic asset allocation with inflation risk and regime switching
• Asymptotic optimality for consensus-type stochastic approximation algorithms using iterate averaging
• Stochastic optimal control and linear programming approach
• Averaging and linear programming in some singularly perturbed problems of optimal control
• Existence of asymptotic values for nonexpansive stochastic control systems
• Moment exponential stability of random delay systems with two-time-scale Markovian switching
• Asymptotic expansion of semi-Markov random evolutions
• 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 local radial basis function method for pricing options under the regime switching model
• Numerical solutions for jump-diffusions with regime switching
• Stabilization and destabilization of hybrid systems of stochastic differential equations
• Finite-time stability theorem of stochastic nonlinear systems
• Double barrier option under regime-switching exponential mean-reverting process
• Large time behavior of weakly coupled systems of first-order Hamilton-Jacobi equations
• On competitive Lotka-Volterra model in random environments
• Reversibility and entropy production of inhomogeneous Markov chains
• Asymptotic expansions of solutions of integro-differential equations for transition densities of singularly perturbed switching diffusions: Rapid switchings
• Saddlepoint approximations to option price in a regime-switching model
• Bounds of ruin probability for regime-switching models using time scale separation
• A lattice method for option pricing with two underlying assets in the regime-switching model
• OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
• Asymptotically optimal dividend policy for regime-switching compound Poisson models
• Pathogen evolution in switching environments: a hybrid dynamical system approach
• An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models
• Averaging of semigroups associated to diffusion processes on a simplex
• Spatio-temporal averaging for a class of hybrid systems and application to conductance-based neuron models
• A continuous-time Markov chain under the influence of a regulating point process and applications in stochastic models with catastrophes
• Option pricing in a regime-switching model using the fast Fourier transform
• Optimal filtering of discrete-time hybrid systems
• A regime-switching model with the volatility smile for two-asset European options
• Stochastic stabilization of hybrid differential equations
• Numerical method for stationary distribution of stochastic differential equations with Markovian switching
• Optimal stock liquidation in a regime switching model with finite time horizon
• Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
• Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
• Singularly perturbed Markov chains: limit results and applications
• An integral equation approach for pricing American put options under regime-switching model
• Backward stochastic differential equations with Markov chains and related asymptotic properties
• Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states.
• A two-factor stochastic production model with two time scales
• Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit
• Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
• Exponential stability of neutral stochastic functional differential equations with two-time-scale Markovian switching
• An averaging principle for stochastic evolution equations with jumps and random time delays
• Asymptotics for Quasi-stationary Distributions of Perturbed Discrete Time Semi-Markov Processes
• Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes
• An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk
• Perturbation analysis of continuous‐time absorbing Markov chains
• From differential to difference importance measures for Markov reliability models
• Properties of solutions of stochastic differential equations with continuous-state-dependent switching
• Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach
• Razumikhin-type theorems on exponential stability of SDDEs containing singularly perturbed random processes
• Nearly-optimal asset allocation in hybrid stock investment models.
• Optimal selling rule in a regime switching Lévy market
• A new efficient numerical method for solving American option under regime switching model
• A stochastic multiscale model for electricity generation capacity expansion
• Spatio-temporal hybrid (PDMP) models: central limit theorem and Langevin approximation for global fluctuations. Application to electrophysiology
• Multiscale stochastic modelling of gene expression
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• Stability of random-switching systems of differential equations
• Computing American option price under regime switching with rationality parameter
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• Stability of hybrid stochastic delay systems whose discrete components have a large state space: a two-time-scale approach
• Pricing American options under multi-states: a radial basis collocation approach
• NEARLY OPTIMAL CONTROL OF NONLINEAR MARKOVIAN SYSTEMS SUBJECT TO WEAK AND STRONG INTERACTIONS
• A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
• Convergence of Markov chain approximation on generalized HJB equation and its applications
• Constrained stochastic estimation algorithms for a class of hybrid stock market models
• Solving the cost to go with time penalization using the Lagrange optimization approach
• Stability of Discrete-Time Regime-Switching Dynamic Systems with Delays
• A bound for the remainder term in the asymptotic expansion of a functional constructed from a semi-Markov random evolution
• Asymptotic properties of solutions of parabolic equations arising from transient diffusions
• Optimal oil production and taxation under mean reverting jump diffusion models
• Asymptotic Expansions for Moment Functionals of Perturbed Discrete Time Semi-Markov Processes
• Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
• Near-optimal controls of discrete-time dynamic systems driven by singularly-perturbed Markov chains
• Stability of Markov modulated discrete-time dynamic systems.
• On some problems arising in asymptotic analysis of Markov processes with singularly perturbed generators
• Stabilization of hybrid neutral stochastic differential delay equations by delay feedback control
• On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators
• Singularly perturbed multidimensional switching diffusions with fast and slow switchings
• Weakly coupled Hamilton-Jacobi systems without monotonicity condition: a first step
• Stability of singular jump-linear systems with a large state space: A two-time-scale approach
• Balanced realizations of regime-switching linear systems
• Multi-time scales in singularly perturbed forward equations for continuous-time Markov chains
• Exponential bounds for discrete-time singularly perturbed Markov chains
• Control of singularly perturbed Markov chains: A numerical study
• Nonlinearly Perturbed Stochastic Processes and Systems
• A natural extension of Markov processes and applications to singular SDEs
• A numerical method to approximate optimal production and maintenance plan in a flexible manufacturing system
• Singularly perturbed diffusisons: Rapid switchings and fast diffusions.
• On Near Optimal Control of Systems with Slow Observables
• Strong convergence of a class of non-homogeneous Markov arrival processes to a Poisson process
• 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

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