Asymptotic stability in probability of singular stochastic systems with Markovian switchings
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DOI: 10.1002/rnc.3795
Abstract: Summary This paper investigates the problem of asymptotic stability in probability for singular stochastic systems with Markovian switchings. A stochastic Lyapunov theorem on asymptotic stability in probability for the considered systems is provided. Also, we… read more here.
Keywords: asymptotic stability; singular stochastic; probability singular; stability ... See more keywords
Itô Differential Representation of Singular Stochastic Volterra Integral Equations
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DOI: 10.1007/s10473-020-0624-5
Abstract: In this paper we obtain an Itô differential representation for a class of singular stochastic Volterra integral equations. As an application, we investigate the rate of convergence in the small time central limit theorem for… read more here.
Keywords: stochastic volterra; differential representation; integral equations; singular stochastic ... See more keywords
On a class of singular stochastic control problems for reflected diffusions
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2019.01.004
Abstract: Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for a general… read more here.
Keywords: stochastic control; control; reflected diffusions; class ... See more keywords