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Continuous-Time Markov Chains and Applications: A Two-Time-Scale Approach

G. George Yin and Qing Zhang
Publisher: 
Springer
Publication Date: 
2013
Number of Pages: 
427
Format: 
Hardcover
Edition: 
2
Series: 
Stochastic Modelling and Applied Probability 37
Price: 
129.00
ISBN: 
9781461443452
Category: 
Monograph
We do not plan to review this book.

Prologue and Preliminaries: Introduction and overview- Mathematical preliminaries.- Markovian models.- Two-Time-Scale Markov Chains: Asymptotic Expansions of Solutions for Forward Equations.- Occupation Measures: Asymptotic Properties and Ramification.- Asymptotic Expansions of Solutions for Backward Equations.- Applications:MDPs, Near-optimal Controls, Numerical Methods, and LQG with Switching: Markov Decision Problems.- Stochastic Control of Dynamical Systems.- Numerical Methods for Control and Optimization.- Hybrid LQG Problems.- References.- Index.

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