Asymptotic Series for Singularly Perturbed Kolmogorov–Fokker–Planck Equations
From MaRDI portal
Publication:5691311
DOI10.1137/S0036139994270085zbMath0873.35015MaRDI QIDQ5691311
G. George Yin, Rafail Z. Khasminskii
Publication date: 26 October 1997
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
Singular perturbations in context of PDEs (35B25) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Diffusion processes (60J60) Asymptotic expansions of solutions to PDEs (35C20)
Related Items
Fast-slow-coupled stochastic functional differential equations ⋮ Near Optimality of Stochastic Control for Singularly Perturbed McKean--Vlasov Systems ⋮ Asymptotic Expansions for Solutions of Systems of Kolmogorov Backward Equations of Two-Time-Scale Switching Jump Diffusions ⋮ MODELLING OF HIGH-DIMENSIONAL DIFFUSION STOCHASTIC PROCESS WITH NONLINEAR COEFFICIENTS FOR ENGINEERING APPLICATIONS — PART I: APPROXIMATIONS FOR EXPECTATION AND VARIANCE OF NONSTATIONARY PROCESS ⋮ Probabilistic solutions of some multi-degree-of-freedom nonlinear stochastic dynamical systems excited by filtered Gaussian white noise ⋮ Control of dynamic systems under the influence of singularly perturbed Markov chains ⋮ Asymptotic expansions of solutions of integro-differential equations for transition densities of singularly perturbed switching diffusions: Rapid switchings ⋮ An averaging principle for fast-slow-coupled neutral stochastic differential equations with time-varying delay ⋮ Model reduction of multi-scale chemical Langevin equations ⋮ An averaging principle for two-time-scale stochastic functional differential equations ⋮ Stochastic Liénard Equations with Random Switching and Two-time Scales ⋮ Limit behavior of two-time-scale diffusions revisited ⋮ Asymptotic expansions of transition densities for hybrid jump-diffusions ⋮ Singularly perturbed diffusisons: Rapid switchings and fast diffusions. ⋮ Methodology for the solutions of some reduced Fokker-Planck equations in high dimensions ⋮ Singularly perturbed multidimensional switching diffusions with fast and slow switchings ⋮ Small perturbation of stochastic parabolic equations: A power series analysis ⋮ A multiscale analysis of diffusions on rapidly varying surfaces ⋮ Asymptotic expansions of solutions of systems of Kolmogorov backward equations for two-time-scale switching diffusions
