Overview
- New chapters added on backward equations and LQG control problems
- Bridges the gap between theory and applications
- Presents results on asymptotic expansions of the corresponding probability distributions
Part of the book series: Stochastic Modelling and Applied Probability (SMAP, volume 37)
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Keywords
Table of contents (10 chapters)
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Prologue and Preliminaries
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Two-Time-Scale Markov Chains
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Applications: MDPs, Near-optimal Controls, Numerical Methods, and LQG with Switching
Reviews
From the reviews of the second edition:
“This book is the expanded second edition of ‘Continuous-time Markov chains and applications. A singular perturbation approach.’ which appeared 1998. … The book remains clearly of interest to researchers in stochastic control, operation research, manufacturing system, engineering, economics and applied mathematics.” (Michael Högele, zbMATH, Vol. 1277, 2014)
“The book is devoted to a study of continuous time singularly perturbed (SP) Markov chains and their applications in problems of control and optimization. … There is no doubt that this second, revised and updated edition will be also well received by the intended audience (researchers and graduate students in applied mathematics and control engineering interested in modeling and optimization of complex stochastic systems) and will excite further interest to the topic.” (Vladimir Gaitsgory, SIAM Review, Vol. 55 (4), 2013)
Authors and Affiliations
Bibliographic Information
Book Title: Continuous-Time Markov Chains and Applications
Book Subtitle: A Two-Time-Scale Approach
Authors: G. George Yin, Qing Zhang
Series Title: Stochastic Modelling and Applied Probability
DOI: https://doi.org/10.1007/978-1-4614-4346-9
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Science+Business Media, LLC 2013
Hardcover ISBN: 978-1-4614-4345-2Published: 25 October 2012
Softcover ISBN: 978-1-4899-9118-8Published: 09 November 2014
eBook ISBN: 978-1-4614-4346-9Published: 14 November 2012
Series ISSN: 0172-4568
Series E-ISSN: 2197-439X
Edition Number: 2
Number of Pages: XXII, 430
Topics: Probability Theory and Stochastic Processes, Calculus of Variations and Optimal Control; Optimization, Operations Research, Management Science, Mathematical and Computational Engineering