Singularly perturbed Markov chains: Limit results and applications

doi:10.1214/105051606000000682

CSpace > 应用数学研究所

	Singularly perturbed Markov chains: Limit results and applications
	Yin, George ; Zhang, Hanqin
	2007-02-01
发表期刊	ANNALS OF APPLIED PROBABILITY
ISSN	1050-5164
卷号	17 期号:1 页码:207-229
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.
关键词	singular perturbation Markov chain asymptotic expansion occupation measure diffusion process
DOI	10.1214/105051606000000682
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000244850700008
出版者	INST MATHEMATICAL STATISTICS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/5034
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.