scientific article; zbMATH DE number 1113626
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Cited in
(only showing first 100 items - show all)- From differential to difference importance measures for Markov reliability models
- Properties of solutions of stochastic differential equations with continuous-state-dependent switching
- Asymptotic expansions of transition densities for hybrid jump-diffusions
- Perturbation analysis of continuous‐time absorbing Markov chains
- A Legendre-Galerkin spectral method for option pricing under regime switching models
- Stabilization and destabilization of hybrid systems by periodic stochastic controls
- Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach
- Convergence of martingale solutions to the hybrid slow-fast system
- Quasi-stationary asymptotics for perturbed semi-Markov processes in discrete time
- 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
- Occupation measures of singularly perturbed Markov chains with absorbing states
- A new efficient numerical method for solving American option under regime switching model
- Asymptotic expansions of solutions of systems of Kolmogorov backward equations for two-time-scale switching diffusions
- Asymptotic expansions for moment functionals of perturbed discrete time semi-Markov processes
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- Occupation measure functionals in merging phase space
- A stochastic multiscale model for electricity generation capacity expansion
- Nonlinearly perturbed stochastic processes and systems
- Multiscale stochastic modelling of gene expression
- Strong convergence rate for slow-fast stochastic differential equations with Markovian switching
- Spatio-temporal hybrid (PDMP) models: central limit theorem and Langevin approximation for global fluctuations. Application to electrophysiology
- Computing American option price under regime switching with rationality parameter
- Perturbation analysis for denumerable Markov chains with application to queueing models
- Stability of random-switching systems of differential equations
- Singularly perturbed Markov chains with two small parameters: A matched asymptotic expansion
- Near-optimal controls of random-switching LQ problems with indefinite control weight costs
- On the notion of weak stability and related issues of hybrid diffusion systems
- Stability of hybrid stochastic delay systems whose discrete components have a large state space: a two-time-scale approach
- Singularly perturbed Markov chains: Convergence and aggregation
- Remarks on the vanishing discount problem for infinite systems of Hamilton-Jacobi-Bellman equations
- Pricing American options under multi-states: a radial basis collocation approach
- A formula for singular perturbations of Markov chains
- 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
- 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
- Asymptotic expansion of a functional constructed from a semi-Markov random evolution in the scheme of diffusion approximation
- Constrained stochastic estimation algorithms for a class of hybrid stock market models
- Convergence of Markov chain approximation on generalized HJB equation and its applications
- Random-direction optimization algorithms with applications to threshold controls
- Asymptotically optimal production policies in dynamic stochastic jobshops with limited buffers
- Averaging principle for two time-scale regime-switching processes
- Solving the cost to go with time penalization using the Lagrange optimization approach
- Averaging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processes
- Stability of Discrete-Time Regime-Switching Dynamic Systems with Delays
- 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
- 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
- Stochastic optimal control and linear programming approach
- Long-term strategic asset allocation with inflation risk and regime switching
- Optimal oil production and taxation under mean reverting jump diffusion models
- Asymptotic optimality for consensus-type stochastic approximation algorithms using iterate averaging
- Averaging and linear programming in some singularly perturbed problems of optimal control
- Existence of asymptotic values for nonexpansive stochastic control systems
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- Moment exponential stability of random delay systems with two-time-scale Markovian switching
- Near-optimal controls of discrete-time dynamic systems driven by singularly-perturbed Markov chains
- Stability of Markov modulated discrete-time dynamic systems.
- 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
- On some problems arising in asymptotic analysis of Markov processes with singularly perturbed generators
- On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators
- Stabilization of hybrid neutral stochastic differential delay equations by delay feedback control
- A local radial basis function method for pricing options under the regime switching model
- Singularly perturbed multidimensional switching diffusions with fast and slow switchings
- An econometric model of the term structure of interest rates under regime-switching risk
- Stabilization and destabilization of hybrid systems of stochastic differential equations
- Numerical solutions for jump-diffusions with regime switching
- Finite-time stability theorem of stochastic nonlinear systems
- Large time behavior of weakly coupled systems of first-order Hamilton-Jacobi equations
- Weakly coupled Hamilton-Jacobi systems without monotonicity condition: a first step
- On competitive Lotka-Volterra model in random environments
- Stability of singular jump-linear systems with a large state space: A two-time-scale approach
- Double barrier option under regime-switching exponential mean-reverting process
- Saddlepoint approximations to option price in a regime-switching model
- Asymptotic expansions of solutions of integro-differential equations for transition densities of singularly perturbed switching diffusions: Rapid switchings
- Balanced realizations of regime-switching linear systems
- Reversibility and entropy production of inhomogeneous Markov chains
- Multi-time scales in singularly perturbed forward equations for continuous-time Markov chains
- Bounds of ruin probability for regime-switching models using time scale separation
- Exponential bounds for discrete-time singularly perturbed Markov chains
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Asymptotically optimal dividend policy for regime-switching compound Poisson models
- Control of singularly perturbed Markov chains: A numerical study
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
- A natural extension of Markov processes and applications to singular SDEs
- Pathogen evolution in switching environments: a hybrid dynamical system approach
- Singularly perturbed diffusisons: Rapid switchings and fast diffusions.
- A numerical method to approximate optimal production and maintenance plan in a flexible manufacturing system
- 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
- A continuous-time Markov chain under the influence of a regulating point process and applications in stochastic models with catastrophes
- Strong convergence of a class of non-homogeneous Markov arrival processes to a Poisson process
- Option pricing in a regime-switching model using the fast Fourier transform
- Stabilization for hybrid stochastic systems by aperiodically intermittent control
- A regime-switching model with the volatility smile for two-asset European options
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