Asymptotic expansions of solutions of systems of Kolmogorov backward equations for two-time-scale switching diffusions

DOI10.1090/S0033-569X-2013-01277-XzbMath1282.60073OpenAlexW1995422803MaRDI QIDQ2871120

Dung Tien Nguyen, G. George Yin

Publication date: 22 January 2014

Published in: Quarterly of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0033-569x-2013-01277-x

zbMATH Keywords

asymptotic expansiontwo-time scalesystem of backward equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Asymptotic expansions of solutions to PDEs (35C20) Continuous-time Markov processes on discrete state spaces (60J27)

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Asymptotic expansions for solutions of parabolic systems associated with multi-scale switching diffusions

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