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Applied Mathematics Letters
Volume 17, Issue 5, May 2004, Pages 535-542
 
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doi:10.1016/S0893-9659(04)90122-X    How to Cite or Link Using DOI (Opens New Window)
Copyright © 2004 Published by Elsevier Ltd.

A small elliptic perturbation of a backward-forward parabolic problem with applications to stochastic models*1

D. Dominici and C. Knessl

Department of Mathematics, Statistics, and Computer Science (M/C 249) University of Illinois at Chicago 851 South Morgan Street, Chicago, IL 60607-7045, U.S.A.

Communicated by J. R. Ockendon 
Available online 28 July 2004.

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Abstract

We consider an elliptic PDE in two variables. As one parameter approaches zero, this PDE collapses to a parabolic one, that is forward parabolic in a part of the domain and backward parabolic in the remainder. Such problems arise naturally in various stochastic models, such as fluid models for data-handling systems and Markov-modulated queues. We employ singular perturbation methods to study the problem for small values of the parameter.

Author Keywords: Singular perturbations; Asymptotics; Elliptic PDEs; Backward-forward parabolic PDEs

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