Singularly perturbed Markov chains: Limit results and applications

doi:10.1214/105051606000000682

	Singularly perturbed Markov chains: Limit results and applications
	Yin, George ; Zhang, Hanqin
刊名	ANNALS OF APPLIED PROBABILITY
	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
出版者	INST MATHEMATICAL STATISTICS
WOS记录号	WOS:000244850700008
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/5033]
专题	中国科学院数学与系统科学研究院
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.