Mean-field models involving continuous-state-dependent random switching: nonnegativity constraints, moment bounds, and two-time-scale limits

DOI10.11650/TWJM/1500406379MaRDI QIDQ647274zbMATH OpenOpenAlexFDO

Authors Juan-Miguel Gracia

Publication date 1 December 2011

Published in Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.11650/twjm/1500406379

zbMATH Keywords

ergodicityregularitycontinuitymomentrandom switchingmean-field modeltwo-time scale

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27) Lyapunov and storage functions (93D30)

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Cited in

(6)

• Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
• Properties for a class of multi-type mean-field models
• Asymptotic Properties of a Mean-Field Model with a Continuous-State-Dependent Switching Process
• Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games
• A general stochastic maximum principle for mean-field controls with regime switching
• A continuous-time model of centrally coordinated motion with random switching

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