Singularly perturbed Markov chains: Limit results and applications
文献类型：期刊论文
| 作者 | Yin, George; Zhang, Hanqin
|
| 刊名 | ANNALS OF APPLIED PROBABILITY
 |
| 出版日期 | 2007-02-01 |
| 卷号 | 17期号:1页码:207-229 |
| 关键词 | singular perturbation Markov chain asymptotic expansion occupation measure diffusion process |
| ISSN号 | 1050-5164 |
| DOI | 10.1214/105051606000000682 |
| 英文摘要 | This work focuses on time-inhomogeneous Markov chains with two time scales. Our motivations stem from applications in reliability and dependability, queueing networks, financial engineering and manufacturing systems, where two-time-scale scenarios naturally arise. One of the important questions is: As the rate of fluctuation of the Markov chain goes to infinity, if the limit distributions of suitably centered and scaled sequences of occupation measures exist, what can be said about the convergence rate? By combining singular perturbation techniques and probabilistic methods, this paper addresses the issue by concentrating on sequences of centered and scaled functional occupation processes. The results obtained are then applied to treat a queueing system example. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000244850700008 |
| 出版者 | INST MATHEMATICAL STATISTICS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/5033]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Yin, George |
| 作者单位 | 1.Wayne State Univ, Dept Math, Detroit, MI 48202 USA 2.Acad Sinica, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yin, George,Zhang, Hanqin. Singularly perturbed Markov chains: Limit results and applications[J]. ANNALS OF APPLIED PROBABILITY,2007,17(1):207-229. |
| APA | Yin, George,&Zhang, Hanqin.(2007).Singularly perturbed Markov chains: Limit results and applications.ANNALS OF APPLIED PROBABILITY,17(1),207-229. |
| MLA | Yin, George,et al."Singularly perturbed Markov chains: Limit results and applications".ANNALS OF APPLIED PROBABILITY 17.1(2007):207-229. |
入库方式： OAI收割
来源：数学与系统科学研究院
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