Continuous-Time Markov Chains and Applications: A Two-Time-Scale Approach (2nd ed. 2013) (Stochastic Modelling and Applied Probability #37)

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.

Copyright:

2013

Book Details

Book Quality:

Publisher Quality

ISBN-13:

9781461443469

Related ISBNs:

9781461443452

Publisher:

Springer New York

Date of Addition:

12/30/20

Copyrighted By:

Springer New York, New York, NY

Adult content:

No

Language:

English

Has Image Descriptions:

No

Categories:

Nonfiction, Business and Finance, Technology, Mathematics and Statistics

Submitted By:

Bookshare Staff

Usage Restrictions:

This is a copyrighted book.