Discrete-time Markov chains : two-time-scale methods and applications /

Saved in:
Bibliographic Details
Author / Creator:Yin, George, 1954-
Imprint:New York : Springer, c2005.
Description:1 online resource (xix, 347 p.) : ill.
Series:Applications of mathematics ; 55
Applications of mathematics ; 55.
Subject:Markov processes.
Markov, Processus de.
MATHEMATICS -- Probability & Statistics -- Stochastic Processes.
Discrete gebeurtenissen.
Markov processes.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/8874565
Hidden Bibliographic Details
Other authors / contributors:Zhang, Qing, 1959-
ISBN:038721948X (alk. paper)
9780387219486 (alk. paper)
0387268715 (electronic bk.)
9780387268712 (electronic bk.)
6610263094 (electronic bk.)
9786610263097 (electronic bk.)
Notes:Includes bibliographical references and index.
Summary:"This book presents results including asymptotic expansions of probability vectors, structural properties of occupation measures, exponential bounds, aggregation and decomposition and associated limit processes, and interface of discrete-time and continuous-time systems. One of the salient features is that it contains a diverse range of applications on filtering, estimation, control, optimization, Markov decision processes, and financial engineering. This book will be an important reference for researchers in the areas of applied probability, control theory, operations research, as well as for practitioners who use optimization techniques. Part of the book can also be used in a graduate course of applied probability, stochastic processes, and applications."--Jacket.
Other form:Print version: Yin, George, 1954- Discrete-time Markov chains. New York : Springer, c2005 038721948X
Table of Contents:
  • Introduction, Overview, and Examples; Mathematical Preliminaries; Asymptotic Expansions; Occupation Measures; Exponential Bounds; Interim Summary and Extensions; Stability of Dynamic Systems; Filtering; Markov Decision Processes; LQ Controls; Mean-Variance Controls; Production Planning; Stochastic Approximation.