scientific article; zbMATH DE number 1113626

zbMATH Open0896.60039MaRDI QIDQ4375487FDOQ4375487

Authors: G. Yin, Q. Zhang 

Publication date: 5 February 1998

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

Recommendations

• Continuous-time Markov chains. An applications-oriented approach
• Singularly perturbed Markov chains: limit results and applications
• Singularly Perturbed Discrete-Time Markov Chains
• Perturbations of continuous-time Markov chains
• scientific article; zbMATH DE number 1944270
• scientific article; zbMATH DE number 1786116
• Publication:4727148
• On perturbation bounds for continuous-time Markov chains
• Perturbation analysis for continuous-time Markov chains

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)

• 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
• 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
• 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.
• 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
• Stabilization for hybrid stochastic systems by aperiodically intermittent control
• Discrete-time approximation of Wonham filters
• Asymptotic Properties of a Mean-Field Model with a Continuous-State-Dependent Switching Process
• Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time.
• Title not available (Why is that?)
• Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion
• 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
• Razumikhin-type theorems on moment exponential stability of functional differential equations involving two-time-scale Markovian switching
• Discrete-time Markov chains with two-time scales and a countable state space: limit results and queueing applications
• Some applications of linear programming formulations in stochastic control
• Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time
• Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
• Asymptotic expansions for solutions of systems of Kolmogorov backward equations of two-time-scale switching jump diffusions
• Average and diffusion approximation of stochastic evolutionary systems in an asymptotic split state space
• Asymptotic properties of multi-species Lotka-Volterra models with regime switching involving weak and strong interactions
• Averaging principles for two-time-scale neutral stochastic delay partial differential equations driven by fractional Brownian motions
• On average control generating families for singularly perturbed optimal control problems with long run average optimality criteria
• Analytic approximations of queues with lightly- and heavily-correlated autoregressive service times
• On near optimal control of systems with slow observables
• A recombining tree method for option pricing with state-dependent switching rates
• A Legendre-Galerkin spectral method for option pricing under regime switching models
• Asymptotic expansions of transition densities for hybrid jump-diffusions
• Stabilization and destabilization of hybrid systems by periodic stochastic controls
• Convergence of martingale solutions to the hybrid slow-fast system
• Quasi-stationary asymptotics for perturbed semi-Markov processes in discrete time
• 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
• Occupation measures of singularly perturbed Markov chains with absorbing states
• Occupation measure functionals in merging phase space
• Nonlinearly perturbed stochastic processes and systems
• Strong convergence rate for slow-fast stochastic differential equations with Markovian switching
• Singularly perturbed Markov chains with two small parameters: A matched asymptotic expansion
• 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
• A formula for singular perturbations of Markov chains
• Singularly perturbed Markov chains: Convergence and aggregation
• Asymptotic expansion of a functional constructed from a semi-Markov random evolution in the scheme of diffusion approximation
• 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
• Random-direction optimization algorithms with applications to threshold controls
• Averaging principle for two time-scale regime-switching processes
• 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
• An econometric model of the term structure of interest rates under regime-switching risk
• 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
• 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
• Asymptotics for quasi-stationary distributions of perturbed discrete time semi-Markov processes

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4375487)