Gapeev, Pavel V. Discounted optimal stopping problems in continuous hidden Markov models. (English) Zbl 1503.60049 Stochastics 94, No. 3, 335-364 (2022). Reviewer: Yana Kinderknecht (Saarbrücken) MSC: 60G40 91G20 60J22 PDFBibTeX XMLCite \textit{P. V. Gapeev}, Stochastics 94, No. 3, 335--364 (2022; Zbl 1503.60049) Full Text: DOI
Momeya, Romuald Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model. (English) Zbl 1494.91160 Stochastics 90, No. 8, 1238-1275 (2018). MSC: 91G20 49L25 60G51 45K05 PDFBibTeX XMLCite \textit{R. Momeya}, Stochastics 90, No. 8, 1238--1275 (2018; Zbl 1494.91160) Full Text: DOI
Liu, R. H. Optimal stopping of switching diffusions with state dependent switching rates. (English) Zbl 1337.60075 Stochastics 88, No. 4, 586-605 (2016). MSC: 60G40 60J60 49L20 49L25 49J40 91G20 91G80 90C39 PDFBibTeX XMLCite \textit{R. H. Liu}, Stochastics 88, No. 4, 586--605 (2016; Zbl 1337.60075) Full Text: DOI
Jia, Chen Reduction of Markov chains with two-time-scale state transitions. (English) Zbl 1337.60182 Stochastics 88, No. 1, 73-105 (2016). MSC: 60J27 60F05 60J28 93C70 PDFBibTeX XMLCite \textit{C. Jia}, Stochastics 88, No. 1, 73--105 (2016; Zbl 1337.60182) Full Text: DOI arXiv
Zhu, Chao; Yin, George; Baran, Nicholas A. Feynman-Kac formulas for regime-switching jump diffusions and their applications. (English) Zbl 1337.60200 Stochastics 87, No. 6, 1000-1032 (2015). MSC: 60J60 60J75 60G57 60G55 60G51 60F05 35R09 47D08 PDFBibTeX XMLCite \textit{C. Zhu} et al., Stochastics 87, No. 6, 1000--1032 (2015; Zbl 1337.60200) Full Text: DOI arXiv
Abbas-Turki, Lokman A.; Karatzas, Ioannis; Li, Qinghua Impulse control of a diffusion with a change point. (English) Zbl 1339.60113 Stochastics 87, No. 3, 382-408 (2015). MSC: 60J60 60G40 49N25 93E20 49L25 60G35 35K87 PDFBibTeX XMLCite \textit{L. A. Abbas-Turki} et al., Stochastics 87, No. 3, 382--408 (2015; Zbl 1339.60113) Full Text: DOI arXiv
He, Qi; Yin, G. Moderate deviations for time-varying dynamic systems driven by non-homogeneous Markov chains with two-time scales. (English) Zbl 1317.60033 Stochastics 86, No. 3, 527-550 (2014). MSC: 60F99 60F10 60J27 60K25 93E20 34E05 PDFBibTeX XMLCite \textit{Q. He} and \textit{G. Yin}, Stochastics 86, No. 3, 527--550 (2014; Zbl 1317.60033) Full Text: DOI
Pemy, Moustapha Optimal stopping of Markov switching Lévy processes. (English) Zbl 1306.60042 Stochastics 86, No. 2, 341-369 (2014). MSC: 60G40 60G51 49J40 49L25 PDFBibTeX XMLCite \textit{M. Pemy}, Stochastics 86, No. 2, 341--369 (2014; Zbl 1306.60042) Full Text: DOI
Yang, Zhixin; Yin, George; Wang, Le Yi; Zhang, Hongwei Near-optimal mean-variance controls under two-time-scale formulations and applications. (English) Zbl 1284.93266 Stochastics 85, No. 4, 723-741 (2013). MSC: 93E20 60J60 60J75 PDFBibTeX XMLCite \textit{Z. Yang} et al., Stochastics 85, No. 4, 723--741 (2013; Zbl 1284.93266) Full Text: DOI arXiv
Nguyen, Son Luu; Yin, G. Weak convergence of Markov-modulated random sequences. (English) Zbl 1219.60025 Stochastics 82, No. 4-6, 521-552 (2010). Reviewer: Nicko G. Gamkrelidze (Moskva) MSC: 60F05 60F17 60J10 60J60 PDFBibTeX XMLCite \textit{S. L. Nguyen} and \textit{G. Yin}, Stochastics 82, No. 4--6, 521--552 (2010; Zbl 1219.60025) Full Text: DOI
Nguyen, Son Luu; Yin, G. Asymptotic properties of Markov-modulated random sequences with fast and slow timescales. (English) Zbl 1232.60023 Stochastics 82, No. 4-6, 445-474 (2010). Reviewer: V. M. Kruglov (Moskva) MSC: 60F15 60F17 60J10 PDFBibTeX XMLCite \textit{S. L. Nguyen} and \textit{G. Yin}, Stochastics 82, No. 4--6, 445--474 (2010; Zbl 1232.60023) Full Text: DOI
Lazrieva, N.; Toronjadze, T. The Robbins-Monro type stochastic differential equations. III: Polyak’s averaging. (English) Zbl 1328.62501 Stochastics 82, No. 1-3, 165-188 (2010). MSC: 62L20 60H10 PDFBibTeX XMLCite \textit{N. Lazrieva} and \textit{T. Toronjadze}, Stochastics 82, No. 1--3, 165--188 (2010; Zbl 1328.62501) Full Text: DOI
Koroliuk, V. S.; Kutoviy, O.; Limnios, N. Occupation measure functionals in merging phase space. (English) Zbl 1200.60075 Stochastics 82, No. 1-3, 149-163 (2010). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60K15 60K37 60J55 PDFBibTeX XMLCite \textit{V. S. Koroliuk} et al., Stochastics 82, No. 1--3, 149--163 (2010; Zbl 1200.60075) Full Text: DOI
Albeverio, S.; Koroliuk, V. S.; Samoilenko, I. V. Asymptotic expansion of semi-Markov random evolutions. (English) Zbl 1179.60058 Stochastics 81, No. 5, 477-502 (2009). Reviewer: P. R. Parthasarathy (Chennai) MSC: 60K15 45E99 PDFBibTeX XMLCite \textit{S. Albeverio} et al., Stochastics 81, No. 5, 477--502 (2009; Zbl 1179.60058) Full Text: DOI arXiv
Yin, G.; Zhang, Hanqin Discrete-time Markov chains with two-time scales and a countable state space: Limit results and queueing applications. (English) Zbl 1145.60322 Stochastics 80, No. 4, 339-369 (2008). MSC: 60J10 34E05 60F05 60K25 PDFBibTeX XMLCite \textit{G. Yin} and \textit{H. Zhang}, Stochastics 80, No. 4, 339--369 (2008; Zbl 1145.60322) Full Text: DOI
Yin, G.; Song, Q. S.; Zhang, Z. Numerical solutions for jump-diffusions with regime switching. (English) Zbl 1071.60050 Stochastics 77, No. 1, 61-79 (2005). Reviewer: Henri Schurz (Carbondale) MSC: 60H10 65C30 34F05 37H10 45J05 60J27 60J60 60J75 65C05 65C20 65C99 65L20 91G60 PDFBibTeX XMLCite \textit{G. Yin} et al., Stochastics 77, No. 1, 61--79 (2005; Zbl 1071.60050) Full Text: DOI