Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time (Q1036925)
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scientific article; zbMATH DE number 5632913
| Language | Label | Description | Also known as |
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| English | Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time |
scientific article; zbMATH DE number 5632913 |
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Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time (English)
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13 November 2009
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The authors deal with non-homogeneous continuous-time Markov chain in the case of special singular form of the infinitesimal generator and obtain asymptotic expansions for solutions of backward Kolmogorov system. The error bounds are obtained.
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Markov chain
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backward equation
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two-time scale
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asymptotic expansion
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