Time-scale separation and state aggregation in singularly perturbed switching diffusions
The authors consider a 2-component singularly perturbed stochastic process NEWLINE\[NEWLINEY^\varepsilon(t)= (X(t), \gamma^\varepsilon(t)),\quad t\in [0, T],NEWLINE\]NEWLINE where \(X(t)\) is a 1-dimensional diffusion process and \(\gamma^\varepsilon(t)\) is a pure jump process called a switching process. The states of the process \(\gamma^\varepsilon(t)\) are grouped based on the recurrence property. Thus the process \(Y^\varepsilon(t)\) depends on the aggregated switching process. The main result is Proposition 3.3 establishing the weak convergence of \(Y^\varepsilon\) to a switching diffusion Markov process \(\overline Y\) whose ``averaged operator is written explicitly.NEWLINENEWLINEFor the entire collection see [Zbl 0958.00050].
- On limit results for a class of singularly perturbed switching diffusions
- Singularly perturbed multidimensional switching diffusions with fast and slow switchings
- Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit
- Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states.
- Singularly perturbed multi-scale switching diffusions
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