Mean-field models involving continuous-state-dependent random switching: nonnegativity constraints, moment bounds, and two-time-scale limits

DOI10.11650/twjm/1500406379zbMath1230.60063OpenAlexW1550818545MaRDI QIDQ647274

Juan-Miguel Gracia

Publication date: 1 December 2011

Published in: Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11650/twjm/1500406379

zbMATH Keywords

regularitycontinuityergodicitymomentrandom switchingmean-field modeltwo-time scale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Lyapunov and storage functions (93D30) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (3)

Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games ⋮ Tamed-Euler method for hybrid stochastic differential equations with Markovian switching ⋮ A general stochastic maximum principle for mean-field controls with regime switching

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