Singularly perturbed Markov chains: limit results and applications

DOI10.1214/105051606000000682zbMATH Open1138.60331arXivmath/0703017OpenAlexW2063028980MaRDI QIDQ2467116FDOQ2467116

George Yin, Hanqin Zhang

Publication date: 18 January 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: This work focuses on time-inhomogeneous Markov chains with two time scales. Our motivations stem from applications in reliability and dependability, queueing networks, financial engineering and manufacturing systems, where two-time-scale scenarios naturally arise. One of the important questions is: As the rate of fluctuation of the Markov chain goes to infinity, if the limit distributions of suitably centered and scaled sequences of occupation measures exist, what can be said about the convergence rate? By combining singular perturbation techniques and probabilistic methods, this paper addresses the issue by concentrating on sequences of centered and scaled functional occupation processes. The results obtained are then applied to treat a queueing system example.

Full work available at URL: https://arxiv.org/abs/math/0703017

zbMATH Keywords

Markov chainasymptotic expansiondiffusion processsingular perturbationoccupation measure

Mathematics Subject Classification ID

Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25) Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on discrete state spaces (60J27) Asymptotic expansions of solutions to ordinary differential equations (34E05)

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Cited In (23)

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• Stability of Discrete-Time Regime-Switching Dynamic Systems with Delays
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