Discrete-time semi-Markov random evolutions and their applications

DOI10.1239/AAP/1363354109MaRDI QIDQ4915656zbMATH OpenOpenAlexFDO

Authors Anatoliy Swishchuk, N. Limnios

Publication date 11 April 2013

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aap/1363354109

zbMATH Keywords

geometric Markov renewal processHamilton-Jacobi-Bellman equationSemi-Markov random evolution

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Functional limit theorems; invariance principles (60F17) Markov renewal processes, semi-Markov processes (60K15) Processes in random environments (60K37) Markov and semi-Markov decision processes (90C40)

Recommendations

• Discrete-time semi-Markov random evolutions -- average and diffusion approximation of difference equations and additive functionals
• scientific article; zbMATH DE number 711981
• scientific article; zbMATH DE number 176111
• Semi-Markov random evolutions: some ideas, methods and results
• scientific article; zbMATH DE number 4213177

Cites work

• Central limit theorems for additive functionals of Markov chains.
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Diffusion approximations of the geometric Markov renewal processes and option price formulas
• Discrete-Time Markov Chains
• Discrete-time semi-Markov random evolutions -- average and diffusion approximation of difference equations and additive functionals
• Dynamic programming for ergodic control with partial observations.
• General Irreducible Markov Chains and Non-Negative Operators
• General logarithmic Sobolev inequalities and Orlicz imbeddings
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 3664138 (Why is no real title available?)
• scientific article; zbMATH DE number 20657 (Why is no real title available?)
• scientific article; zbMATH DE number 49190 (Why is no real title available?)
• scientific article; zbMATH DE number 51440 (Why is no real title available?)
• scientific article; zbMATH DE number 53121 (Why is no real title available?)
• scientific article; zbMATH DE number 3460142 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3519673 (Why is no real title available?)
• scientific article; zbMATH DE number 1268831 (Why is no real title available?)
• scientific article; zbMATH DE number 1022519 (Why is no real title available?)
• scientific article; zbMATH DE number 2023365 (Why is no real title available?)
• scientific article; zbMATH DE number 2026734 (Why is no real title available?)
• scientific article; zbMATH DE number 195091 (Why is no real title available?)
• Introduction to Non-Linear Mechanics. (AM-11)
• Limit Theorems for Markov Renewal Processes
• Markov chains and stochastic stability
• Markov Decision Problems and State-Action Frequencies
• Markov Decision Processes with Asymptotic Average Failure Rate Constraint
• Markov Renewal Processes with Finitely Many States
• Markov Renewal Processes: Definitions and Preliminary Properties
• Martingale Approach to Limit Theorems for Semi–Markov Processes
• Normal deviation and Poisson approximation of a security market by the geometric Markov renewal processes
• On the Theory of Markov Renewal
• Optimal policies for controlled Markov chains with a constraint
• Option pricing: A simplified approach
• Piecewise deterministic Markov processes applied to fatigue crack growth modelling
• Random evolutions: A survey of results and problems
• Random perturbation methods with applications in science and engineering
• Sample-path average cost optimality for semi-Markov control processes on Borel spaces: unbounded costs and mean holding times
• Semi-Markov chains and hidden semi-Markov models toward applications. Their use in reliability and DNA analysis.
• Semi-Markov processes and reliability
• Semi-Markov random evolutions: some ideas, methods and results
• Stochastic optimal control. The discrete time case
• Stochastic systems in merging phase space.
• Switching Processes in Queueing Models
• The geometric Markov renewal processes with application to finance

Cited in

(17)

• On discrete-time semi-Markov processes
• Local theorems for (multidimensional) additive functionals of semi-Markov chains
• Estimation of stationary probability of semi-Markov chains
• Averaging and diffusion approximation of vector difference equations in random media with applications to biological systems
• Discrete-time semi-Markov random evolutions -- average and diffusion approximation of difference equations and additive functionals
• scientific article; zbMATH DE number 3850237 (Why is no real title available?)
• Asymptotic expansion of semi-Markov random evolutions
• scientific article; zbMATH DE number 4086704 (Why is no real title available?)
• scientific article; zbMATH DE number 1061187 (Why is no real title available?)
• Semi-Markov random evolutions: some ideas, methods and results
• A semi-martingale representation for a semi-Markov chain with application to finance
• The parallel semi-Markov processes in objects group control tasks
• A semi-Markovian modeling of limit order markets
• A Review of Some Recent Work on Discontinuous Markoff Processes with Applications to Biology, Physics and Actuarial Science
• Discrete-Time Semi-Markov Random Evolutions and Their Applications
• From semi-Markov random evolutions to scattering transport and superdiffusion
• Stochastic modeling of movement for helium particles in a graphite channel

This page was built for publication: Discrete-time semi-Markov random evolutions and their applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4915656)