Asymptotic expansions for Markov processes with lévy generators

W. H. Fleming; H. M. Soner

doi:10.1007/BF01448199

Asymptotic expansions for Markov processes with lévy generators

W. H. Fleming, H. M. Soner

Research output: Contribution to journal › Article › peer-review

15 Scopus citations

Abstract

This paper considers a deterministic flow in n-dimensional space, perturbed by a Markov jump process with small variance. Asymptotic expansions are obtained for certain functionals of Feynman-Kac type, in powers of a small parameter representing a noise intensity. The methods are analytical rather than probabilistic.

Original language	English (US)
Pages (from-to)	203-223
Number of pages	21
Journal	Applied Mathematics & Optimization
Volume	19
Issue number	1
DOIs	https://doi.org/10.1007/BF01448199
State	Published - Jan 1989
Externally published	Yes

All Science Journal Classification (ASJC) codes

Control and Optimization
Applied Mathematics

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10.1007/BF01448199

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abstract = "This paper considers a deterministic flow in n-dimensional space, perturbed by a Markov jump process with small variance. Asymptotic expansions are obtained for certain functionals of Feynman-Kac type, in powers of a small parameter representing a noise intensity. The methods are analytical rather than probabilistic.",

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Asymptotic expansions for Markov processes with lévy generators

Abstract

All Science Journal Classification (ASJC) codes

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