Averaging principle for two time-scale regime-switching processes

DOI10.1214/24-ejp1073arXiv2212.05218OpenAlexW4391434570MaRDI QIDQ6126951

Yong Hua Mao, Jing Hai Shao

Publication date: 10 April 2024

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2212.05218

zbMATH Keywords

ergodicityaveraging principleregime-switchingMarkov modulated diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ergodic theorems, spectral theory, Markov operators (37A30) Averaging for functional-differential equations (34K33) Jump processes on general state spaces (60J76)

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