Asymptotic expansions for Markov processes with lévy generators |
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| Authors: | W H Fleming H M Soner |
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| Institution: | (1) Division of Applied Mathematics, Brown University, 02912 Providence, RI, USA;(2) Department of Mathematics, Carnegie Mellon University, 15213 Pittsburgh, PA, USA |
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| Abstract: | This paper considers a deterministic flow inn-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.The research of the first author was partly supported by AFOSR under Contract No. 91-0116-0, by ONR under Contract No. N0014-83-K-0542, and by the Institute for Mathematics and Its Applications with funds provided by the NSF and ONR. The second author's research was partly supported by NSF under Contract No. DMS-8702537, and by the Institute for Mathematics and Its Applications with funds provided by the NSF and ONR. |
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