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.
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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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Fleming, W.H., Soner, H.M. Asymptotic expansions for Markov processes with lévy generators. Appl Math Optim 19, 203–223 (1989). https://doi.org/10.1007/BF01448199
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DOI: https://doi.org/10.1007/BF01448199