Hybrid Switching Diffusions : Properties and Applications / by G. George Yin, Chao Zhu
(Stochastic Modelling and Applied Probability ; 63)
| データ種別 | 電子ブック |
|---|---|
| 版 | First |
| 出版者 | New York, NY : Springer New York |
| 出版年 | 2010 |
| 本文言語 | 英語 |
| 大きさ | XVIII, 398 p : online resource |
書誌詳細を非表示
| 内容注記 | and Motivation Basic Properties, Recurrence, Ergodicity Switching Diffusion Recurrence Ergodicity Numerical Solutions and Approximation Numerical Approximation Numerical Approximation to Invariant Measures Stability Stability Stability of Switching ODEs Invariance Principles Two-time-scale Modeling and Applications Positive Recurrence: Weakly Connected Ergodic Classes Stochastic Volatility Using Regime-Switching Diffusions Two-Time-Scale Switching Jump Diffusions |
|---|---|
| 一般注記 | This book presents a comprehensive study of hybrid switching diffusion processes and their applications. The motivations for studying such processes originate from emerging and existing applications in wireless communications, signal processing, queueing networks, production planning, biological systems, ecosystems, financial engineering, and modeling, analysis, and control and optimization of large-scale systems, under the influence of random environment. One of the distinct features of the processes under consideration is the coexistence of continuous dynamics and discrete events. This book is written for applied mathematicians, applied probabilists, systems engineers, control scientists, operations researchers, and financial analysts. Selected materials from the book may also be used in a graduate level course on stochastic processes and applications or a course on hybrid systems. A large part of the book is concerned with the discrete event process depending on the continuous dynamics. In addition to the existence and uniqueness of solutions of switching diffusion equations, regularity, Feller and strong Feller properties, continuous and smooth dependence on initial data, recurrence, ergodicity, invariant measures, and stability are dealt with. Numerical methods for solutions of switching diffusions are developed; algorithms for approximation to invariant measures are investigated. Two-time-scale models are also examined. The results presented in the book are useful to researchers and practitioners who need to use stochastic models to deal with hybrid stochastic systems, and to treat real-world problems when continuous dynamics and discrete events are intertwined, in which the traditional approach using stochastic differential equations alone is no longer adequate |
| 著者標目 | *Yin, G. George author Zhu, Chao author SpringerLink (Online service) |
| 件 名 | LCSH:Mathematics LCSH:Operations research LCSH:Decision making LCSH:Probabilities LCSH:Control engineering LCSH:Robotics LCSH:Mechatronics LCSH:Automation FREE:Mathematics FREE:Probability Theory and Stochastic Processes FREE:Operation Research/Decision Theory FREE:Robotics and Automation FREE:Control, Robotics, Mechatronics |
| 分 類 | DC23:519.2 |
| 巻冊次 | ISBN:9781441911056 
|
| ISBN | 9781441911056 |
| URL | http://dx.doi.org/10.1007/978-1-4419-1105-6 |
目次／あらすじ