000 04019nam a22005055i 4500
001 978-1-4419-1105-6
003 DE-He213
005 20140220084504.0
007 cr nn 008mamaa
008 100301s2010 xxu| s |||| 0|eng d
020 _a9781441911056
_9978-1-4419-1105-6
024 7 _a10.1007/978-1-4419-1105-6
_2doi
050 4 _aQA273.A1-274.9
050 4 _aQA274-274.9
072 7 _aPBT
_2bicssc
072 7 _aPBWL
_2bicssc
072 7 _aMAT029000
_2bisacsh
082 0 4 _a519.2
_223
100 1 _aYin, G. George.
_eauthor.
245 1 0 _aHybrid Switching Diffusions
_h[electronic resource] :
_bProperties and Applications /
_cby G. George Yin, Chao Zhu.
250 _aFirst.
264 1 _aNew York, NY :
_bSpringer New York,
_c2010.
300 _bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aStochastic Modelling and Applied Probability,
_x0172-4568 ;
_v63
505 0 _aand 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.
520 _aThis 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.
650 0 _aMathematics.
650 0 _aDistribution (Probability theory).
650 1 4 _aMathematics.
650 2 4 _aProbability Theory and Stochastic Processes.
650 2 4 _aControl, Robotics, Mechatronics.
650 2 4 _aOperations Research/Decision Theory.
700 1 _aZhu, Chao.
_eauthor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9781441911049
830 0 _aStochastic Modelling and Applied Probability,
_x0172-4568 ;
_v63
856 4 0 _uhttp://dx.doi.org/10.1007/978-1-4419-1105-6
912 _aZDB-2-SMA
999 _c110318
_d110318