scientific article; zbMATH DE number 1113626
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- Averaging principle for two time-scale regime-switching processes
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- Singular perturbation for the discounted continuous control of piecewise deterministic Markov processes
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- 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
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- Stabilization and destabilization of hybrid systems of stochastic differential equations
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- Large time behavior of weakly coupled systems of first-order Hamilton-Jacobi equations
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- 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
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- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
- Markov chain approximation approach to European option pricing in the presence of proportional transaction costs and regime-switching
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- A numerical method to approximate optimal production and maintenance plan in a flexible manufacturing system
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- Option pricing in a regime-switching model using the fast Fourier transform
- Stabilization for hybrid stochastic systems by aperiodically intermittent control
- Strong and weak convergence rates of Euler-Maruyama scheme for stochastic differential equations with state-dependent Markovian switching driven by -stable process
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- 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
- Asymptotics for quasi-stationary distributions of perturbed discrete time semi-Markov processes
- Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
- Stochastic stabilization of hybrid differential equations
- Discrete-time approximation of Wonham filters
- Numerical method for stationary distribution of stochastic differential equations with Markovian switching
- Asymptotic Properties of a Mean-Field Model with a Continuous-State-Dependent Switching Process
- Weak convergence and diffusion approximation of singularly perturbed stochastic differential equation with state-dependent switching
- Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion
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- Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time.
- Razumikhin-type theorems on moment exponential stability of functional differential equations involving two-time-scale Markovian switching
- Optimal stock liquidation in a regime switching model with finite time horizon
- 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
- Some applications of linear programming formulations in stochastic control
- Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
- Discrete-time Markov chains with two-time scales and a countable state space: limit results and queueing applications
- Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time
- Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Average and diffusion approximation of stochastic evolutionary systems in an asymptotic split state space
- Singularly perturbed Markov chains: limit results and applications
- Asymptotic expansions for solutions of systems of Kolmogorov backward equations of two-time-scale switching jump diffusions
- Backward stochastic differential equations with Markov chains and related asymptotic properties
- Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states.
- Asymptotic properties of multi-species Lotka-Volterra models with regime switching involving weak and strong interactions
- An integral equation approach for pricing American put options under regime-switching model
- A two-factor stochastic production model with two time scales
- 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
- Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit
- Exponential stability of neutral stochastic functional differential equations with two-time-scale Markovian switching
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