Continuous-time Markov Chains and Applications: A Two-time-scale Approach

Yin, George G./ Zhang, Qing

ISBN 10: 1461443458 / ISBN 13: 9781461443452

Published by Springer Verlag, 2012

About this Item

2nd edition. 427 pages. 9.25x6.50x1.00 inches. In Stock. Seller Inventory # 1461443458

Bibliographic Details

Title: Continuous-time Markov Chains and ...

Publisher: Springer Verlag

Publication Date: 2012

Binding: Hardcover

Condition: Brand New

Edition: 2nd Edition

About this title

Synopsis:

This book gives a systematic treatment of singularly perturbed systems that naturally arise in control and optimization, queueing networks, manufacturing systems, and financial engineering. It presents results on asymptotic expansions of solutions of Komogorov forward and backward equations, properties of functional occupation measures, exponential upper bounds, and functional limit results for Markov chains with weak and strong interactions. To bridge the gap between theory and applications, a large portion of the book is devoted to applications in controlled dynamic systems, production planning, and numerical methods for controlled Markovian systems with large-scale and complex structures in the real-world problems. This second edition has been updated throughout and includes two new chapters on asymptotic expansions of solutions for backward equations and hybrid LQG problems. The chapters on analytic and probabilistic properties of two-time-scale Markov chains have been almost completely rewritten and the notation has been streamlined and simplified. This book is written for applied mathematicians, engineers, operations researchers, and applied scientists. Selected material from the book can also be used for a one semester advanced graduate-level course in applied probability and stochastic processes.