Singularly perturbed multidimensional switching diffusions with fast and slow switchings
type: Item
instance of: scholarly article
title: Singularly perturbed multidimensional switching diffusions with fast and slow switchings
zbMATH Open document ID: 0920.60062
author: M. Kniazeva
author: G. Yin
published in: Journal of Mathematical Analysis and Applications
publication date: 1999-04-22T00:00:00Z
review text: This work is concerned with singularly perturbed switching diffusions with fast and slow components. The diffusion component of the joint process is multidimensional and the diffusive motion evolves an order of magnitude slower than that of the jumps or the switchings. The jump component may be decomposed into several groups. There is one group consisting of transient states, and all the other groups involve recurrent states. Within each group, there are rapid switchings. Among different groups, the switchings occur relatively infrequently. Under simple conditions, an asymptotic expansion of the probability density is developed; error bounds and justification of the expansion are provided.
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 1251434
zbMATH Keywords: perturbed switching diffusions
zbMATH Keywords: diffusive motion
zbMATH Keywords: asymptotic expansion
zbMATH Keywords: error bounds
reviewed by: Sophia L. Kalpazidou
MaRDI profile type: Publication
full work available at URL: jmaa.1998.6188
OpenAlex ID: W1998660778
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DOI: 10.1006/JMAA.1998.6188
description: scientific article; zbMATH DE number 1251434