Singularly perturbed Markov chains with two small parameters: A matched asymptotic expansion

DOI10.1006/JMAA.2001.7772MaRDI QIDQ5961166zbMATH OpenOpenAlexFDO

Authors Q. G. Liu, G. Yin, Q. Zhang

Publication date 31 May 2003

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmaa.2001.7772

zbMATH Keywords

asymptotic expansionmanufacturing systemsingularly perturbed Markov chain

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Production theory, theory of the firm (91B38)

Review text

The paper deals with asymptotic properties of solutions to forward equations for singularly perturbed Markov chains with two small parameters. The motivation for this work comes from a production-marketing system. The goal is on one hand to find asymptotic optimal strategies for a cost-minimizing firm involving production planning and capacity expansion with a two-level hierarchical decomposition by using the limit distribution of the Markov chains. However, the focus of this paper is to obtain asymptotic properties of the solutions to the forward equation satisfied by the probability vector. The paper starts with an example and introduces then formally the model. The next section is devoted to the analysis of the asymptotic expansion followed by a section about the corresponding error analysis. In the last section certain extensions of the model are discussed and a brief outlook to further research is given.

Recommendations

• scientific article; zbMATH DE number 970112
• Singularly perturbed Markov chains: limit results and applications
• A formula for singular perturbations of Markov chains
• scientific article; zbMATH DE number 4001133
• scientific article; zbMATH DE number 1047756
• Asymptotic Expansions of Singularly Perturbed Systems Involving Rapidly Fluctuating Markov Chains
• scientific article; zbMATH DE number 1836394
• Exponential bounds for discrete-time singularly perturbed Markov chains

Cites work

• A singular perturbation approach to modeling and control of Markov chains
• Aggregation of Variables in Dynamic Systems
• Asymptotic Expansions of Singularly Perturbed Systems Involving Rapidly Fluctuating Markov Chains
• Constructing asymptotic series for probability distributions of Markov chains with weak and strong interactions
• scientific article; zbMATH DE number 425394 (Why is no real title available?)
• scientific article; zbMATH DE number 3878095 (Why is no real title available?)
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 45793 (Why is no real title available?)
• scientific article; zbMATH DE number 193190 (Why is no real title available?)
• scientific article; zbMATH DE number 193548 (Why is no real title available?)
• scientific article; zbMATH DE number 1350741 (Why is no real title available?)
• scientific article; zbMATH DE number 1113626 (Why is no real title available?)
• scientific article; zbMATH DE number 836581 (Why is no real title available?)
• scientific article; zbMATH DE number 3297399 (Why is no real title available?)
• Optimal control of Markov chains admitting strong and weak interactions

Cited in

(3)

• Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time
• Asymptotic Expansions of Singularly Perturbed Systems Involving Rapidly Fluctuating Markov Chains
• scientific article; zbMATH DE number 970112 (Why is no real title available?)

This page was built for publication: Singularly perturbed Markov chains with two small parameters: A matched asymptotic expansion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5961166)