Singularly perturbed Markov chains: Limit results and applications

Citation
Yin, George et Zhang, Hanqin, Singularly perturbed Markov chains: Limit results and applications, Annals of applied probability , 17(1), 2007, pp. 207-229
ISSN journal
10505164
Volume
17
Issue
1
Year of publication
2007
Pages
207 - 229
Database
ACNP
SICI code
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.