摘要:

Convergence is studied of a sequence (nξ) of irreducible positive-recurrent Markov chains to a Markov chain ξ in term of Fourier representation. If (ζ∞,ωc) is the representative class of ξ by directed circuits c with the weights having a probabilistic interpretation in term of Sample paths,then the sum of all ωcfor which the pair of states (i, j) is an arc of c is approximated by an almost surely convergent sequence of Fourier representations. When the weights have not a probabilistic interpretation then they can be explicitely given by an algorithm in term of the integral representation

ISSN:0736-2994    

DOI:10.1080/07362999208809254

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor

摘要:

S′-valued Gaussian processes of a certain class are shown to have the semimartingale decomposition similar to that one given by the Ornstein-Uhlenbeck equation. There is given a simple sufficient condition for the family of fluctuations to be tight.The non–Markov property for this class of processes is investigated

ISSN:0736-2994    

DOI:10.1080/07362999208809255

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor

摘要:

For the d–dimensional reflecting stochastic differential equations (1) with non-smooth boundary and unbounded domain the existence of a strong solution, (weak solution) is obtained under the conditions that the coefficients are less than linear growth and they are non-Lipschitz, (and the diffusion coefficient is non-degenerate, the drift coefficient is bounded and measurable only). Moreover, the Girsanov theorem and the martingale representation theorem with respect to system (1) are also derived. Then by using the Ekeland lemma and the martingale method the existence, necessary and sufficient conditions for an optimal control and an optimal control are obtained. The results are then applied to solve an optimal control problem for a stochastic population model

ISSN:0736-2994    

DOI:10.1080/07362999208809256

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor

摘要:

Letbe a non-decreasing Markov chain with a transition probability Q satisfying.Assuming that Q(x,By),where,is non-increasing in x, and that Q(x,By+x) B is non-decreasing in x,we prove that,where {Zi} is stochastically non-increasing and asymptotically i.i.d.,possessing a mixin property.We use this to show that(a.s) and thatin probability,if,where T(y) is the hitting time of (y,∞).We also show thatis Markov renewal process whereare sojourn times of

ISSN:0736-2994    

DOI:10.1080/07362999208809257

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor

ISSN:0736-2994    

DOI:10.1080/07362999208809253

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor