Convergence of switching diffusions

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Ergodic Control of Switching Diffusions*

A bstract . We study the ergodic control problem of switching diffusions representing a typical hybrid system that arises in numerous applications such as fault-tolerant control systems, flexible manufacturing systems, etc. Under fairly general conditions, we establish the existence of a stable, nonrandomized Markov policy which almost surely minimizes the pathwise long-run average cost. We the...

متن کامل

Convergence Rates of Markov Chain Approximation Methods for Controlled Regime-Switching Diffusions with Stopping

This work summarizes our recent work on rates of convergence of Markov chain approximation methods for controlled switching diffusions, in which both continuous dynamics and discrete events coexist. The discrete events are formulated by continuous-time Markov chains to delineate random environment and other random factors that cannot be represented by diffusion processes. The cost function is o...

متن کامل

Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions

This work is concerned with numerical methods for controlled regime-switching diffusions, and regime-switching jump diffusions. Numerical procedures based on Markov chain approximation techniques are developed. Convergence of the algorithms is derived by means of weak convergence methods. In addition, examples are also provided for demonstration purpose. 2006 Elsevier Ltd. All rights reserved.

متن کامل

Hybrid Switching Diffusions : Properties and Applications

Hybrid switching diffusions, also known as switching diffusions or regimeswitching systems, have drawn a signifi cant amount of attention in recent decades in a variety of applications due to their ability to model complex systems with uncertainty. Control and systems engineers have long been familiar with the fundamental idea of using a continuous stochastic differential equation to describe a...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Stochastic Processes and their Applications

سال: 2015

ISSN: 0304-4149

DOI: 10.1016/j.spa.2015.03.010