Open Access
February 2007 Singularly perturbed Markov chains: Limit results and applications
George Yin, Hanqin Zhang
Ann. Appl. Probab. 17(1): 207-229 (February 2007). DOI: 10.1214/105051606000000682
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.

Copyright © 2007 Institute of Mathematical Statistics
George Yin and Hanqin Zhang "Singularly perturbed Markov chains: Limit results and applications," The Annals of Applied Probability 17(1), 207-229, (February 2007). https://doi.org/10.1214/105051606000000682
Published: February 2007
Vol.17 • No. 1 • February 2007
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