IDEAS home Printed from https://ideas.repec.org/a/spr/jotpro/v14y2001i3d10.1023_a1017541022565.html
   My bibliography  Save this article

On Limit Results for a Class of Singularly Perturbed Switching Diffusions

Author

Listed:
  • G. Yin

    (Wayne State University)

Abstract

This work is devoted to the weak convergence analysis of a class of aggregated processes resulting from singularly perturbed switching diffusions with fast and slow motions. The processes consist of diffusion components and pure jump components. The states of the pure jump component are naturally divisible into a number of classes. Aggregate the states in each weakly irreducible class by a single state leading to an aggregated process. Under suitable conditions, it is shown that the aggregated process converges weakly to a switching diffusion process whose generator is an average with respect to the quasi-stationary distribution of the jump process.

Suggested Citation

  • G. Yin, 2001. "On Limit Results for a Class of Singularly Perturbed Switching Diffusions," Journal of Theoretical Probability, Springer, vol. 14(3), pages 673-697, July.
    • Handle: RePEc:spr:jotpro:v:14:y:2001:i:3:d:10.1023_a:1017541022565
    DOI: 10.1023/A:1017541022565
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1023/A:1017541022565
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1023/A:1017541022565?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Zhang, Q. & Yin, G., 1997. "Structural properties of Markov chains with weak and strong interactions," Stochastic Processes and their Applications, Elsevier, vol. 70(2), pages 181-197, October.
    2. A. M. Il'in & R. Z. Khasminskii & G. Yin, 1999. "Singularly Perturbed Switching Diffusions: Rapid Switchings and Fast Diffusions," Journal of Optimization Theory and Applications, Springer, vol. 102(3), pages 555-591, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Feng, Cheng-Min & Wu, Pei-Ju & Chia, Kai-Chieh, 2010. "A hybrid fuzzy integral decision-making model for locating manufacturing centers in China: A case study," European Journal of Operational Research, Elsevier, vol. 200(1), pages 63-73, January.
    2. Michael Ludkovski & Hyekyung Min, 2010. "Illiquidity Effects in Optimal Consumption-Investment Problems," Papers 1004.1489, arXiv.org, revised Sep 2010.
    3. Parpas, Panos & Webster, Mort, 2014. "A stochastic multiscale model for electricity generation capacity expansion," European Journal of Operational Research, Elsevier, vol. 232(2), pages 359-374.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jotpro:v:14:y:2001:i:3:d:10.1023_a:1017541022565. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.