Continuous-time Markov chains and applications : a singular perturbation approach /
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| Author / Creator: | Yin, George, 1954- |
|---|---|
| Imprint: | New York : Springer, c1998. |
| Description: | xv, 349 p. : ill. ; 25 cm. |
| Language: | English |
| Series: | Applications of mathematics. 37 |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/2954266 |
Table of Contents:
- I. Prologue and Preliminaries. 1. Introduction and Overview. 2. Mathematical Preliminaries. 3. Markovian Models
- II. Singularly Perturbed Markov Chains. 4. Asymptotic Expansion: Irreducible Generators. 5. Asymptotic Normality and Exponential Bounds. 6. Asymptotic Expansion: Weak and Strong Interactions. 7. Weak and Strong Interactions: Asymptotic Properties and Ramification
- III. Control and Numerical Methods. 8. Markov Decision Problems. 9. Stochastic Control of Dynamic Systems. 10. Numerical Methods for Control and Optimization. App. A.1. Properties of Generators
- App. A.2. Weak Convergence
- App. A.3. Relaxed Control
- App. A.4. Viscosity Solutions of HJB Equations
- App. A.5. Value Functions and Optimal Controls
- App. A.6. Miscellany.
