Stochastic evolution under Markov-modulated Poisson perturbation in the diffusion approximation scheme

DOI10.1007/S10559-025-00781-ZMaRDI QIDQ6970971zbMATH OpenFDO

Authors Ya. M. Chabanyuk, S. A. Semenyuk, U. T. Khimka, R. A. Chypurko

Publication date 17 June 2025

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10559-025-00781-Z

zbMATH Keywords

stochastic differential equationsstochastic optimal controlMarkov-modulated Poisson processdiffusion approximation scheme

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cites work

• scientific article; zbMATH DE number 1509412 (Why is no real title available?)
• Asymptotic Analyses for Complex Evolutionary Systems with Markov and Semi‐Markov Switching Using Approximation Schemes
• Fluctuations of a stochastic system under an asymptotic diffusive perturbation
• Qualitative and asymptotic analysis of differential equations with random perturbations.
• Random perturbation methods with applications in science and engineering
• Semi-Markov modulated Poisson process: probabilistic and statistical analysis
• Stochastic evolutionary system with Markov-modulated Poisson perturbations in the averaging schema
• Stochastic modeling in economics and finance.
• Stochastic modelling for systems biology.
• Stochastic systems in merging phase space.
• Stochastic systems with memory and jumps
• The Markov-modulated Poisson process (MMPP) cookbook
• Weak convergence methods and singularly perturbed stochastic control and filtering problems

Cited in

(1)

• Control problem for the Markov-modulated Poisson process in the diffusion schema

This page was built for publication: Stochastic evolution under Markov-modulated Poisson perturbation in the diffusion approximation scheme

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6970971)