Continuous-Time Markov Chains and Applications: A Singular by George G. Yin, Qing Zhang

By George G. Yin, Qing Zhang

Utilizing a unique perturbation process, this can be a systematic therapy of these platforms that obviously come up in queuing conception, keep an eye on and optimisation, and production, amassing a few rules which have been formerly scattered during the literature. The ebook provides effects on asymptotic expansions of the corresponding chance distributions, sensible career measures, exponential higher bounds, and asymptotic normality. To bridge the space among idea and purposes, a wide element of the publication is dedicated to numerous purposes, hence lowering the dimensionality for difficulties lower than Markovian disturbances and delivering instruments for facing large-scale and intricate real-world events. a lot of this stems from the authors'recent study, providing effects that have no longer seemed somewhere else. a tremendous reference for researchers in utilized arithmetic, likelihood and stochastic techniques, operations study, regulate conception, and optimisation.

Show description

Read Online or Download Continuous-Time Markov Chains and Applications: A Singular Perturbation Approach PDF

Best stochastic modeling books

Random Perturbation of PDEs and Fluid Dynamic Models: École d’Été de Probabilités de Saint-Flour XL – 2010

This quantity offers with the random perturbation of PDEs which lack well-posedness, as a rule due to their non-uniqueness, at times due to blow-up. the purpose is to teach that noise might restoration strong point or hinder blow-up. this isn't a basic or easy-to-apply rule, and the speculation awarded within the booklet is in reality a sequence of examples with a couple of unifying rules.

Stochastic Analysis, Stochastic Systems, and Applications to Finance

Stochastic research and structures: Multidimensional Wick-Ito formulation for Gaussian tactics (D Nualart & S Ortiz-Latorre); Fractional White Noise Multiplication (A H Tsoi); Invariance precept of Regime-Switching Diffusions (C Zhu & G Yin); Finance and Stochastics: genuine strategies and pageant (A Bensoussan et al.

Stochastic Approximation Algorithms and Applications

In recent times, algorithms of the stochastic approximation kind have stumbled on functions in new and numerous parts and new strategies were constructed for proofs of convergence and fee of convergence. the particular and capability purposes in sign processing have exploded. New demanding situations have arisen in functions to adaptive regulate.

Modeling, Analysis, Design, and Control of Stochastic Systems

An introductory point textual content on stochastic modelling, fitted to undergraduates or graduates in actuarial technological know-how, company administration, machine technological know-how, engineering, operations learn, public coverage, facts, and arithmetic. It employs a number of examples to teach how one can construct stochastic versions of actual structures, examine those versions to foretell their functionality, and use the research to layout and keep watch over them.

Extra resources for Continuous-Time Markov Chains and Applications: A Singular Perturbation Approach

Example text

If a weakly irreducible Markov chain contains only one communicating class of recurrent states, and if there are no transient states, then the Markov chain is irreducible. 22 2. 8 (Quasi-Stationary Distribution). 7) satisfying v(t) 2: 0. 9. While studying problems of stationary Markov chains, the stationary distributions play an important role. In the context of nonstationary Markov chains, they are replaced by the quasi-stationary distributions, which will be used extensively in this book. If v(t) = v > 0, it is termed a stationary distribution.

If v(t) = v > 0, it is termed a stationary distribution. 8, if Q(t) is weakly irreducible, then there is a quasi-stationary distribution. Note that the rank of a weakly irreducible m x m matrix Q(t) is m - 1, for each t 2: 0. The definition given above emphasizes the probabilistic interpretation. An equivalent definition for the weak irreducibility that pinpoints the algebraic properties of Q(t) is given below. 38 in Appendix. 10. 8) has only the trivial (zero) solution. In the subsequent development, we often need to treat nonhomogeneous systems of linear equations.

One can only rely on the measurements or use some form of Monte Carlo method (see various examples in Kushner and Yin [121]). Although discrete procedures are often used, one needs to consider continuous-time algorithms when the sampling rate is high. Let x, ~ E R n and f : R,n f---t R n be a continuous function satisfying certain conditions. 3) d:~t) = a(t)(f(x(t)) + e(t)), where a(t) > 0, a(t) 0 as t ---7 ---7 00 and 1 00 a(t)dt = 00. Typically used step size sequences take the form a(t) = - 1 t7 with 1 2<'Y~I.

Download PDF sample

Rated 4.65 of 5 – based on 13 votes