Asymptotic Expansions for Solutions of Systems of Kolmogorov Backward Equations of Two-Time-Scale Switching Jump Diffusions

DOI10.1080/03610926.2011.581166zbMath1315.60090OpenAlexW1985865980MaRDI QIDQ2890077

Dung Tien Nguyen, G. George Yin

Publication date: 8 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.581166

zbMATH Keywords

asymptotic expansiondiffusion processjump processtwo-time scale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Singular perturbations in context of PDEs (35B25) Diffusion processes (60J60) Asymptotic expansions of solutions to PDEs (35C20)

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