Multiple time scale decomposition of discrete time Markov chains (Q1111248)
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English | Multiple time scale decomposition of discrete time Markov chains |
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Multiple time scale decomposition of discrete time Markov chains (English)
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1988
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The multiple time scale decomposition of discrete time, finite state Markov chains is addressed. In another paper by the same authors [J. Assoc. Comput. Mach. 35, No.3, 675-696 (1988; Zbl 0643.60057)], the behavior of a continuous time Markov chain is approximated using a fast time scale, \(\epsilon\)-independent, continuous time process, and a reduced order perturbed process. The procedure can then be iterated to obtain a complete multiple time scale decomposition. In the discrete time case presented in this paper, the basic approximation has a `hybrid' form. In this form, the fast time scale behavior is approximated using an \(\epsilon\)-independent discrete time Markov chain, and the slow behavior is captured by a perturbed, continuous time process.
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aggregation
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perturbation theory
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multiple time scale decomposition
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