Download Discrete-Time Markov Chains: Two-Time-Scale Methods and by G. George Yin, Qing Zhang PDF

By G. George Yin, Qing Zhang

This e-book specializes in the idea and purposes of discrete-time two-time-scale Markov chains. a lot attempt during this publication is dedicated to designing procedure versions bobbing up from those functions, interpreting them through analytic and probabilistic concepts, and constructing possible computational algorithms with the intention to decrease the inherent complexity. This e-book offers effects together with asymptotic expansions of likelihood vectors, structural houses of profession measures, exponential bounds, aggregation and decomposition and linked restrict tactics, and interface of discrete-time and continuous-time structures. one of many salient good points is that it encompasses a varied diversity of functions on filtering, estimation, keep an eye on, optimization, and Markov selection techniques, and fiscal engineering. This booklet might be a tremendous reference for researchers within the parts of utilized likelihood, keep an eye on concept, operations learn, in addition to for practitioners who use optimization suggestions. a part of the e-book is usually utilized in a graduate process utilized likelihood, stochastic approaches, and functions.

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Extra resources for Discrete-Time Markov Chains: Two-Time-Scale Methods and Applications

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Then P (q ii (τ1 ) = 0) = 0. In fact, if Bi = {t : q ii (t) = 0}, then P (q ii (τ1 ) = 0) = P (τ1 ∈ Bi ) t exp = Bi q ii (s)ds −q ii (t) dt = 0. 0 In general, α(t) = α(τl ) on the interval [τl , τl+1 ). The jump time τl+1 has the conditional probability distribution P (τl+1 − τl ∈ Bl |τ1 , . . , τl , α(τ1 ), . . , α(τl )) t+τl = exp Bl τl q α(τl )α(τl ) (s)ds −q α(τl )α(τl ) (t + τl ) dt. 34 2. Mathematical Preliminaries The post-jump location of α(t) = j, j = α(τl ) is given by P (α(τl+1 ) = j|τ1 , .

We also note that the time-space separation method considered in the deterministic discrete-time singular perturbation problems by Naidu [117], which mainly dealt with boundary value problems, cannot be carried over to our formulation. Nevertheless, the idea of time-scale separation can still be used and asymptotic expansions can still be constructed for discrete-time Markov chains owing to the work of Hoppensteadt and Miranker [69]. 5 Organization This book consists of three parts with a total of fourteen chapters.

Suppose that the matrix Q(t) satisfies the q-Property for t ≥ 0. Then the following statements hold. (a) The process α(·) constructed above is a Markov chain. 8) 0 is a martingale for any uniformly bounded function f (·) on M. Thus Q(t) is indeed the generator of α(·). 9) P (s, s) = I, where I is the identity matrix. (d) Assume further that Q(t) is continuous in t. 10) P (s, s) = I. Proof. 5]. ✷ Suppose that α(t), t ≥ 0, is a Markov chain generated by an m0 × m0 matrix Q(t). The notions of irreducibility and quasi-stationary distribution are given next.

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